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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1230	18.01***
α ARCH Response to squared shocks	0.0993	18.51***
β GARCH Volatility persistence	0.9153	365.41***
γ leverage Additional response to negative shocks	-0.0785	-13.03***

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S&P GSCI Coffee Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Coffee Index Analyses