Skip to main content
V-Lab
V-Lab

Amplify Samsung Sofr ETF MF2-GARCH Volatility Analysis

Volatility prediction for Wednesday, September 16th, 2026

1 Day

0.97%

decreased by 0.01%

1 Week

1.12%

increased by 0.14%

1 Month

1.40%

increased by 0.42%

Analysis last updated: Tuesday, September 15, 2026 at 09:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Amplify Samsung Sofr ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1998 to Sep 11, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 74% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 74% more than positive returns
ParamValuet-stat
mwindow51
αARCH0.1242
4.24***
βGARCH0.6794
21.15***
γleverage0.0920
2.47**
λ₁tau intercept0.0010
1.02
λ₂forecast adj.0.5376
3.71***
λ₃tau persistence0.4624
3.33***

0.850

Persistence

4d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

51
α

ARCH

Response to squared shocks

0.1242
4.24***
β

GARCH

Volatility persistence

0.6794
21.15***
γ

leverage

Additional response to negative shocks

0.0920
2.47**
λ₁

tau intercept

Baseline long-term coefficient

0.0010
1.02
λ₂

forecast adj.

Forecast performance sensitivity

0.5376
3.71***
λ₃

tau persistence

Long-term factor persistence

0.4624
3.33***

Persistence:

0.850

Half-life:

4 days