V-Lab: SAP SE MF2-GARCH Volatility Analysis

V-Lab

SAP SE MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:22.46% (-0.21%)

Analysis last updated: Saturday, May 31, 2025 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0455	13.15
$β$	0.7829	122.21
$γ$	0.1437	20.72
$λ_{1}$	0.0090	3.34
$λ_{2}$	0.0150	4.54
$λ_{3}$	0.9830	246.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts