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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	0.0584	24.52***
β GARCH Volatility persistence	0.9058	325.69***
γ leverage Additional response to negative shocks	0.0201	7.61***
λ₁ tau intercept Baseline long-term coefficient	0.0066	12.89***
λ₂ forecast adj. Forecast performance sensitivity	0.0629	25.02***
λ₃ tau persistence Long-term factor persistence	0.9343	340.49***

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S&P GSCI Spot Index MF2-GARCH Volatility Analysis

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Volatility Forecast

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