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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0324	24.18***
β GARCH Volatility persistence	0.9742	997.18***
γ leverage Additional response to negative shocks	-0.0134	-8.45***
λ₁ tau intercept Baseline long-term coefficient	7.5831	0.64
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9287	8.31***

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ICE US Cocoa MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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