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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0632	15.61***
β GARCH Volatility persistence	0.7360	24.73***
γ leverage Additional response to negative shocks	0.0032	0.83
λ₁ tau intercept Baseline long-term coefficient	0.0244	1.27
λ₂ forecast adj. Forecast performance sensitivity	0.0576	1.83*
λ₃ tau persistence Long-term factor persistence	0.9326	25.33***

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S&P GSCI Cotton Index MF2-GARCH Volatility Analysis

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Volatility Forecast

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