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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	0.0768	27.12***
β GARCH Volatility persistence	0.8914	267.04***
γ leverage Additional response to negative shocks	0.0034	0.84
λ₁ tau intercept Baseline long-term coefficient	0.0029	4.25***
λ₂ forecast adj. Forecast performance sensitivity	0.0044	4.84***
λ₃ tau persistence Long-term factor persistence	0.9945	852.93***

V-Lab

CBOT Rough Rice MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Rough Rice Analyses