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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0314	7.98***
β GARCH Volatility persistence	0.7500	19.67***
γ leverage Additional response to negative shocks	0.0262	5.73***
λ₁ tau intercept Baseline long-term coefficient	0.0273	0.60
λ₂ forecast adj. Forecast performance sensitivity	0.0444	0.91
λ₃ tau persistence Long-term factor persistence	0.9481	16.99***

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S&P GSCI Sugar Index MF2-GARCH Volatility Analysis

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Volatility Forecast

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