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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0704	5.71***
β GARCH Volatility persistence	0.0989	3.66***
γ leverage Additional response to negative shocks	0.1871	6.09***
λ₁ tau intercept Baseline long-term coefficient	0.4853	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.4529	0.20
λ₃ tau persistence Long-term factor persistence	0.1838	0.05

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CME Live Cattle MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Live Cattle Analyses