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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0733	32.64***
β GARCH Volatility persistence	0.9084	255.25***
γ leverage Additional response to negative shocks	-0.0189	-8.15***
λ₁ tau intercept Baseline long-term coefficient	0.0018	6.22***
λ₂ forecast adj. Forecast performance sensitivity	0.0121	7.39***
λ₃ tau persistence Long-term factor persistence	0.9869	540.77***

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

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