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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0525	23.98***
β GARCH Volatility persistence	0.8587	182.58***
γ leverage Additional response to negative shocks	0.0483	17.33***
λ₁ tau intercept Baseline long-term coefficient	0.0120	7.09***
λ₂ forecast adj. Forecast performance sensitivity	0.0281	7.52***
λ₃ tau persistence Long-term factor persistence	0.9676	232.32***

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S&P GSCI Lean Hogs Index MF2-GARCH Volatility Analysis

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