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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	0.0476	12.21***
β GARCH Volatility persistence	0.7478	49.85***
γ leverage Additional response to negative shocks	0.0548	7.81***
λ₁ tau intercept Baseline long-term coefficient	0.7333	0.49
λ₂ forecast adj. Forecast performance sensitivity	0.7723	0.48
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CBOT Corn MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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