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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0586	24.52***
β GARCH Volatility persistence	0.9056	325.16***
γ leverage Additional response to negative shocks	0.0202	7.62***
λ₁ tau intercept Baseline long-term coefficient	0.0066	12.92***
λ₂ forecast adj. Forecast performance sensitivity	0.0626	24.99***
λ₃ tau persistence Long-term factor persistence	0.9346	341.85***

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S&P GSCI Spot Index MF2-GARCH Volatility Analysis

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Volatility Forecast

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