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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	0.0587	24.74***
β GARCH Volatility persistence	0.9057	326.75***
γ leverage Additional response to negative shocks	0.0197	7.48***
λ₁ tau intercept Baseline long-term coefficient	0.0067	12.91***
λ₂ forecast adj. Forecast performance sensitivity	0.0635	25.27***
λ₃ tau persistence Long-term factor persistence	0.9338	340.55***

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S&P GSCI Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Spot Index Analyses