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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	0.1451	11.99***
β GARCH Volatility persistence	0.4305	11.77***
γ leverage Additional response to negative shocks	-0.0737	-8.23***
λ₁ tau intercept Baseline long-term coefficient	0.4263	0.27
λ₂ forecast adj. Forecast performance sensitivity	0.4272	0.29
λ₃ tau persistence Long-term factor persistence	0.5028	0.29

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ICE US Orange Juice MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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