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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	0.0588	24.51***
β GARCH Volatility persistence	0.9054	324.04***
γ leverage Additional response to negative shocks	0.0200	7.52***
λ₁ tau intercept Baseline long-term coefficient	0.0066	12.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0628	24.96***
λ₃ tau persistence Long-term factor persistence	0.9344	340.41***

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S&P GSCI Spot Index MF2-GARCH Volatility Analysis

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