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 Monday, April 22nd, 2024:20.10% (+2.44%)

Analysis last updated: Saturday, April 20, 2024 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0627	5.12
$α$	0.1079	7.14
$β$	0.7969	32.76
$γ_{1}$	0.0730	1.17
$γ_{2}$	-0.0860	-0.95
$γ_{3}$	0.0352	0.64
$γ_{4}$	-0.1648	-3.56
$γ_{5}$	0.3023	6.78
$γ_{6}$	-0.2480	-5.09
$γ_{7}$	0.1128	2.01
$γ_{8}$	0.0193	0.29
$γ_{9}$	-0.0684	-0.90
$γ_{10}$	-0.0397	-0.40

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts