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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	0.0762	20.14***
β GARCH Volatility persistence	0.8541	80.82***
γ leverage Additional response to negative shocks	-0.0723	-14.87***
λ₁ tau intercept Baseline long-term coefficient	0.0207	0.89
λ₂ forecast adj. Forecast performance sensitivity	0.0127	1.53
λ₃ tau persistence Long-term factor persistence	0.9827	84.69***

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ICE US Coffee Arabica MF2-GARCH Volatility Analysis

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