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

V-Lab

SAP SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:20.83% (+0.46%)

Analysis last updated: Saturday, May 31, 2025 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0246	4.71
$α$	0.1116	7.51
$β$	0.8001	34.69
$γ_{1}$	0.0406	0.65
$γ_{2}$	-0.0286	-0.31
$γ_{3}$	-0.0320	-0.59
$γ_{4}$	-0.0654	-1.53
$γ_{5}$	0.2015	4.72
$γ_{6}$	-0.1809	-4.24
$γ_{7}$	0.0759	1.64
$γ_{8}$	0.0568	0.98
$γ_{9}$	-0.1487	-1.91
$γ_{10}$	0.1093	1.76

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts