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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0438	15.59***
β GARCH Volatility persistence	0.8348	53.57***
γ leverage Additional response to negative shocks	0.0475	8.16***
λ₁ tau intercept Baseline long-term coefficient	0.0472	2.03**
λ₂ forecast adj. Forecast performance sensitivity	0.0545	1.91*
λ₃ tau persistence Long-term factor persistence	0.9323	27.00***

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ICE US Cotton No. 2 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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