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V-Lab

Samsung Electronics Co Ltd MF2-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

67.47%

decreased by 0.39%

1 Week

68.96%

increased by 1.10%

1 Month

70.90%

increased by 3.04%

Analysis last updated: Sunday, September 20, 2026 at 12:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Samsung Electronics Co Ltd MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 3, 1990 to Sep 18, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 103% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 103% more than positive returns
ParamValuet-stat
mwindow36
αARCH0.0456
5.43***
βGARCH0.8491
38.49***
γleverage0.0472
3.26***
λ₁tau intercept0.0148
1.75*
λ₂forecast adj.0.0323
3.32***
λ₃tau persistence0.9653
91.36***

0.918

Persistence

8d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

36
α

ARCH

Response to squared shocks

0.0456
5.43***
β

GARCH

Volatility persistence

0.8491
38.49***
γ

leverage

Additional response to negative shocks

0.0472
3.26***
λ₁

tau intercept

Baseline long-term coefficient

0.0148
1.75*
λ₂

forecast adj.

Forecast performance sensitivity

0.0323
3.32***
λ₃

tau persistence

Long-term factor persistence

0.9653
91.36***

Persistence:

0.918

Half-life:

8 days