V-Lab: SAP SE Spline-GARCH Volatility Analysis

V-Lab

SAP SE Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 16th, 2025:25.53% (+2.97%)

Analysis last updated: Saturday, June 14, 2025 at 11:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0620	4.90
$α$	0.1106	7.40
$β$	0.8012	34.31
$γ_{1}$	0.0557	0.90
$γ_{2}$	-0.0522	-0.57
$γ_{3}$	-0.0159	-0.29
$γ_{4}$	-0.0813	-1.90
$γ_{5}$	0.2177	5.11
$γ_{6}$	-0.1947	-4.59
$γ_{7}$	0.0832	1.79
$γ_{8}$	0.0599	0.98
$γ_{9}$	-0.1680	-1.88
$γ_{10}$	0.1677	1.56

Estimation Period:
Jan 2, 1990 to Jun 13, 2025

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Volatility Forecasts

Volatility Forecasts