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

V-Lab

SAP SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 25th, 2025:23.70% (+1.36%)

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
$ω$	1.0239	4.69
$α$	0.1113	7.51
$β$	0.8010	34.91
$γ_{1}$	0.0397	0.63
$γ_{2}$	-0.0269	-0.29
$γ_{3}$	-0.0341	-0.63
$γ_{4}$	-0.0623	-1.45
$γ_{5}$	0.1984	4.64
$γ_{6}$	-0.1791	-4.21
$γ_{7}$	0.0756	1.65
$γ_{8}$	0.0564	0.99
$γ_{9}$	-0.1487	-1.93
$γ_{10}$	0.1098	1.79

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

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Volatility Forecasts

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