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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.7494
β GARCH Volatility persistence	0.0006
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	1.4046
λ₂ forecast adj. Forecast performance sensitivity	0.0362
λ₃ tau persistence Long-term factor persistence	0.0005

V-Lab

S&P GSCI Softs Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Softs Spot Index Analyses