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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0011	0.14
β GARCH Volatility persistence	0.9088	67.28***
γ leverage Additional response to negative shocks	0.0751	6.92***
λ₁ tau intercept Baseline long-term coefficient	0.0144	1.60
λ₂ forecast adj. Forecast performance sensitivity	0.0638	2.15**
λ₃ tau persistence Long-term factor persistence	0.9206	24.02***

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S&P GSCI All Cattle Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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