V-Lab: SAP SE GJR-GARCH Volatility Analysis

V-Lab

SAP SE GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 15th, 2025:31.59% (-2.07%)

Analysis last updated: Saturday, September 13, 2025 at 11:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1500	21.68
$α$	0.0867	16.91
$β$	0.8426	223.37
$γ$	0.1003	11.29

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts