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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	0.0685	15.25***
β GARCH Volatility persistence	0.6860	37.36***
γ leverage Additional response to negative shocks	0.0266	4.98***
λ₁ tau intercept Baseline long-term coefficient	0.0047	0.87
λ₂ forecast adj. Forecast performance sensitivity	0.0261	2.41**
λ₃ tau persistence Long-term factor persistence	0.9723	81.83***

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S&P GSCI Lead Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses