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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.1195	17.49***
β GARCH Volatility persistence	0.6374	27.18***
γ leverage Additional response to negative shocks	-0.0039	-0.48
λ₁ tau intercept Baseline long-term coefficient	0.0815	1.32
λ₂ forecast adj. Forecast performance sensitivity	0.0956	1.45
λ₃ tau persistence Long-term factor persistence	0.8863	11.17***

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

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News Impact Curve

Volatility Forecast

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