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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0757	5.75***
β GARCH Volatility persistence	0.8513	31.10***
γ leverage Additional response to negative shocks	-0.0722	-4.59***
λ₁ tau intercept Baseline long-term coefficient	0.0208	1.49
λ₂ forecast adj. Forecast performance sensitivity	0.0128	3.06***
λ₃ tau persistence Long-term factor persistence	0.9826	150.71***

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ICE US Coffee Arabica MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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