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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	0.1094	4.77***
β GARCH Volatility persistence	0.8203	37.60***
γ leverage Additional response to negative shocks	0.0051	0.21
λ₁ tau intercept Baseline long-term coefficient	0.0211	1.26
λ₂ forecast adj. Forecast performance sensitivity	0.0286	2.38**
λ₃ tau persistence Long-term factor persistence	0.9677	68.34***

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NY Harbor ULSD Heating Oil MF2-GARCH Volatility Analysis

Date Range:

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