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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1098	20.77***
β GARCH Volatility persistence	0.8189	104.43***
γ leverage Additional response to negative shocks	0.0053	0.88
λ₁ tau intercept Baseline long-term coefficient	0.0215	5.82***
λ₂ forecast adj. Forecast performance sensitivity	0.0296	6.65***
λ₃ tau persistence Long-term factor persistence	0.9667	196.72***

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NY Harbor ULSD Heating Oil MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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