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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1081	26.95***
β GARCH Volatility persistence	0.8876	154.09***
γ leverage Additional response to negative shocks	-0.0933	-21.87***
λ₁ tau intercept Baseline long-term coefficient	0.0221	4.19***
λ₂ forecast adj. Forecast performance sensitivity	0.0166	4.57***
λ₃ tau persistence Long-term factor persistence	0.9790	217.03***

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S&P GSCI Coffee Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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