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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.1449	11.88***
β GARCH Volatility persistence	0.4293	11.78***
γ leverage Additional response to negative shocks	-0.0734	-8.17***
λ₁ tau intercept Baseline long-term coefficient	0.4204	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.4302	0.30
λ₃ tau persistence Long-term factor persistence	0.5016	0.29

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ICE US Orange Juice MF2-GARCH Volatility Analysis

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