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, March 5th, 2025:34.12% (+9.20%)

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
$ω$	1.0136	4.74
$α$	0.1076	7.25
$β$	0.8016	33.85
$γ_{1}$	0.0432	0.69
$γ_{2}$	-0.0347	-0.38
$γ_{3}$	-0.0202	-0.37
$γ_{4}$	-0.0857	-1.99
$γ_{5}$	0.2222	5.22
$γ_{6}$	-0.1926	-4.41
$γ_{7}$	0.0774	1.58
$γ_{8}$	0.0612	0.98
$γ_{9}$	-0.1509	-1.88
$γ_{10}$	0.1076	1.75

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts