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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	0.0684	4.03***
β GARCH Volatility persistence	0.6869	13.08***
γ leverage Additional response to negative shocks	0.0267	1.32
λ₁ tau intercept Baseline long-term coefficient	0.0046	1.86*
λ₂ forecast adj. Forecast performance sensitivity	0.0261	5.47***
λ₃ tau persistence Long-term factor persistence	0.9723	187.66***

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

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News Impact Curve

Volatility Forecast

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Other S&P GSCI Lead Spot Index Analyses