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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0664	32.39***
β GARCH Volatility persistence	0.9194	290.12***
γ leverage Additional response to negative shocks	-0.0144	-6.92***
λ₁ tau intercept Baseline long-term coefficient	0.0014	9.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0104	7.21***
λ₃ tau persistence Long-term factor persistence	0.9885	624.05***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Agricultural Spot Index Analyses