V-Lab: SAP SE MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

SAP SE MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 5th, 2025:40.32% (+14.60%)

Analysis last updated: Wednesday, March 5, 2025 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0468	13.17
$β$	0.7832	119.60
$γ$	0.1360	19.24
$λ_{1}$	0.0089	3.25
$λ_{2}$	0.0152	4.42
$λ_{3}$	0.9828	236.42

Estimation Period:
Jan 2, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts