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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0521	4.17***
β GARCH Volatility persistence	0.9363	70.62***
γ leverage Additional response to negative shocks	-0.0326	-2.68***
λ₁ tau intercept Baseline long-term coefficient	0.0808	2.56**
λ₂ forecast adj. Forecast performance sensitivity	0.9527	13.30***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

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