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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	0.0692	15.34***
β GARCH Volatility persistence	0.6835	37.12***
γ leverage Additional response to negative shocks	0.0262	4.89***
λ₁ tau intercept Baseline long-term coefficient	0.0051	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.0261	2.39**
λ₃ tau persistence Long-term factor persistence	0.9721	80.80***

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

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