V-Lab: SAP SE MF2-GARCH Volatility Analysis

V-Lab

SAP SE MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 25th, 2025:25.71% (-0.36%)

Analysis last updated: Wednesday, June 25, 2025 at 10:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0454	13.14
$β$	0.7833	122.49
$γ$	0.1434	20.73
$λ_{1}$	0.0089	3.35
$λ_{2}$	0.0149	4.56
$λ_{3}$	0.9831	248.07

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts