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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0187	4.01***
α ARCH Response to squared shocks	0.0505	4.42***
β GARCH Volatility persistence	0.9451	125.88***
γ leverage Additional response to negative shocks	-0.0146	-0.92

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S&P GSCI Softs Spot Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Softs Spot Index Analyses