V-Lab
Samsung Electronics Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
76.42%
increased by 0.50%
1 Week
77.82%
increased by 1.90%
1 Month
80.18%
increased by 4.26%
Analysis last updated: Tuesday, September 8, 2026 at 09:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 4, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 104% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 104% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 36 | |
| αARCH | 0.0458 | 5.36*** |
| βGARCH | 0.8441 | 36.71*** |
| γleverage | 0.0475 | 3.23*** |
| λ₁tau intercept | 0.0158 | 1.76* |
| λ₂forecast adj. | 0.0348 | 3.38*** |
| λ₃tau persistence | 0.9627 | 86.55*** |
0.914
Persistence8d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.0458 | 5.36*** |
β GARCH Volatility persistence | 0.8441 | 36.71*** |
γ leverage Additional response to negative shocks | 0.0475 | 3.23*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0158 | 1.76* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0348 | 3.38*** |
λ₃ tau persistence Long-term factor persistence | 0.9627 | 86.55*** |
Persistence:
0.914
Half-life:
8 days
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