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 Wednesday, November 20th, 2024:21.70% (-0.69%)

Analysis last updated: Thursday, November 21, 2024 at 12:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0235	4.81
$α$	0.1086	7.26
$β$	0.8000	33.70
$γ_{1}$	0.0490	0.78
$γ_{2}$	-0.0454	-0.50
$γ_{3}$	-0.0066	-0.12
$γ_{4}$	-0.1064	-2.43
$γ_{5}$	0.2426	5.63
$γ_{6}$	-0.2048	-4.50
$γ_{7}$	0.0818	1.56
$γ_{8}$	0.0584	0.87
$γ_{9}$	-0.1405	-1.68
$γ_{10}$	0.0935	1.51

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts