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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0396	11.11***
β GARCH Volatility persistence	0.8875	176.68***
γ leverage Additional response to negative shocks	0.0380	9.01***
λ₁ tau intercept Baseline long-term coefficient	0.1283	3.01***
λ₂ forecast adj. Forecast performance sensitivity	0.7031	4.67***
λ₃ tau persistence Long-term factor persistence	0.2065	1.14

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Invesco DB Commodity Index Tracking Fund MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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