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

V-Lab

SAP SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:28.17% (-2.06%)

Analysis last updated: Sunday, May 11, 2025 at 03:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0340	4.74
$α$	0.1110	7.47
$β$	0.8022	34.83
$γ_{1}$	0.0431	0.68
$γ_{2}$	-0.0324	-0.35
$γ_{3}$	-0.0284	-0.52
$γ_{4}$	-0.0708	-1.64
$γ_{5}$	0.2070	4.81
$γ_{6}$	-0.1844	-4.26
$γ_{7}$	0.0770	1.62
$γ_{8}$	0.0572	0.96
$γ_{9}$	-0.1475	-1.86
$γ_{10}$	0.1061	1.70

Estimation Period:
Jan 2, 1990 to May 9, 2025

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Volatility Forecasts

Volatility Forecasts