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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0062	5.93***
β GARCH Volatility persistence	0.9949	1,500.59***
γ leverage Additional response to negative shocks	-0.0062	-4.68***
λ₁ tau intercept Baseline long-term coefficient	0.2466	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9594	0.55

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CME Lean Hogs MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Lean Hogs Analyses