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, November 12th, 2024:25.44% (-1.60%)

Analysis last updated: Tuesday, November 12, 2024 at 08:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0518	5.01
$α$	0.1085	7.23
$β$	0.7995	33.49
$γ_{1}$	0.0554	0.90
$γ_{2}$	-0.0536	-0.60
$γ_{3}$	-0.0030	-0.06
$γ_{4}$	-0.1100	-2.50
$γ_{5}$	0.2456	5.70
$γ_{6}$	-0.2062	-4.52
$γ_{7}$	0.0820	1.56
$γ_{8}$	0.0576	0.85
$γ_{9}$	-0.1379	-1.65
$γ_{10}$	0.0905	1.48

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts