V-Lab: SAP SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SAP SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 7th, 2025:22.11% (+1.58%)

Analysis last updated: Tuesday, January 7, 2025 at 09:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0152	4.78
$α$	0.1084	7.25
$β$	0.7991	33.29
$γ_{1}$	0.0468	0.75
$γ_{2}$	-0.0417	-0.46
$γ_{3}$	-0.0113	-0.21
$γ_{4}$	-0.0982	-2.27
$γ_{5}$	0.2338	5.49
$γ_{6}$	-0.1988	-4.47
$γ_{7}$	0.0787	1.56
$γ_{8}$	0.0608	0.94
$γ_{9}$	-0.1464	-1.78
$γ_{10}$	0.1009	1.64

Estimation Period:
Jan 2, 1990 to Jan 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts