V-Lab: SAP SE Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SAP SE Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:25.70% (-1.59%)

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
$ω$	1.0634	5.05
$α$	0.1085	7.20
$β$	0.7989	33.23
$γ_{1}$	0.0642	1.04
$γ_{2}$	-0.0684	-0.76
$γ_{3}$	0.0094	0.17
$γ_{4}$	-0.1249	-2.85
$γ_{5}$	0.2631	6.12
$γ_{6}$	-0.2222	-4.90
$γ_{7}$	0.0927	1.76
$γ_{8}$	0.0536	0.79
$γ_{9}$	-0.1399	-1.61
$γ_{10}$	0.0994	1.08

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

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Volatility Forecasts