V-Lab: SAP SE GJR-GARCH Volatility Analysis

V-Lab

SAP SE GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:22.35% (-0.10%)

Analysis last updated: Saturday, May 31, 2025 at 11:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1510	21.64
$α$	0.0874	16.91
$β$	0.8411	220.94
$γ$	0.1025	11.37

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts