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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1100	2.72***
β GARCH Volatility persistence	0.3658	1.65*
γ leverage Additional response to negative shocks	-0.0563	-1.33
λ₁ tau intercept Baseline long-term coefficient	0.2831	1.03
λ₂ forecast adj. Forecast performance sensitivity	0.0814	1.38
λ₃ tau persistence Long-term factor persistence	0.8737	8.64***

V-Lab

CBOT Oats MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Oats Analyses