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{name} Model Equation

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Param	Value	t-stat
mwindow	121
αARCH	0.0633	6.91***
βGARCH	0.9367	101.72***
γleverage	-0.0334	-3.06***
λ₁tau intercept	0.0095	1.02
λ₂forecast adj.	0.0239	1.80*
λ₃tau persistence	0.9738	64.77***

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0633	6.91***
β GARCH Volatility persistence	0.9367	101.72***
γ leverage Additional response to negative shocks	-0.0334	-3.06***
λ₁ tau intercept Baseline long-term coefficient	0.0095	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.0239	1.80*
λ₃ tau persistence Long-term factor persistence	0.9738	64.77***

V-Lab

S&P GSCI Silver Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Silver Index Analyses