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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	0.0770	27.10***
β GARCH Volatility persistence	0.8910	265.81***
γ leverage Additional response to negative shocks	0.0037	0.92
λ₁ tau intercept Baseline long-term coefficient	0.0027	4.26***
λ₂ forecast adj. Forecast performance sensitivity	0.0043	4.90***
λ₃ tau persistence Long-term factor persistence	0.9946	880.98***

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CBOT Rough Rice MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Rough Rice Analyses