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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0581	21.99***
β GARCH Volatility persistence	0.9565	449.08***
γ leverage Additional response to negative shocks	-0.0328	-12.19***
λ₁ tau intercept Baseline long-term coefficient	0.0007	28.71***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.15
λ₃ tau persistence Long-term factor persistence	0.9999

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S&P GSCI Precious Metals Spot Index MF2-GARCH Volatility Analysis

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