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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	0.0690	15.31***
β GARCH Volatility persistence	0.6847	37.13***
γ leverage Additional response to negative shocks	0.0260	4.86***
λ₁ tau intercept Baseline long-term coefficient	0.0051	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.0261	2.38**
λ₃ tau persistence Long-term factor persistence	0.9721	80.74***

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

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