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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0045	3.82***
β GARCH Volatility persistence	0.9951	295.82***
γ leverage Additional response to negative shocks	-0.0045	-1.81*
λ₁ tau intercept Baseline long-term coefficient	0.0078	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.0009	0.16
λ₃ tau persistence Long-term factor persistence	0.9977	93.31***

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CME Lean Hogs MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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