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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	0.1075	26.88***
β GARCH Volatility persistence	0.8878	153.57***
γ leverage Additional response to negative shocks	-0.0928	-21.78***
λ₁ tau intercept Baseline long-term coefficient	0.0220	4.17***
λ₂ forecast adj. Forecast performance sensitivity	0.0165	4.55***
λ₃ tau persistence Long-term factor persistence	0.9791	217.10***

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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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