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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	0.1009	14.33***
β GARCH Volatility persistence	0.6419	27.81***
γ leverage Additional response to negative shocks	0.0519	5.49***
λ₁ tau intercept Baseline long-term coefficient	0.0193	1.59
λ₂ forecast adj. Forecast performance sensitivity	0.0314	2.69***
λ₃ tau persistence Long-term factor persistence	0.9654	74.99***

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

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News Impact Curve

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