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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	0.0587	24.70***
β GARCH Volatility persistence	0.9058	326.63***
γ leverage Additional response to negative shocks	0.0198	7.52***
λ₁ tau intercept Baseline long-term coefficient	0.0067	12.92***
λ₂ forecast adj. Forecast performance sensitivity	0.0634	25.23***
λ₃ tau persistence Long-term factor persistence	0.9339	340.71***

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S&P GSCI Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Spot Index Analyses