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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0637	26.01***
β GARCH Volatility persistence	0.9373	312.22***
γ leverage Additional response to negative shocks	-0.0339	-11.79***
λ₁ tau intercept Baseline long-term coefficient	0.0091	8.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0221	6.98***
λ₃ tau persistence Long-term factor persistence	0.9757	277.03***

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S&P GSCI Silver Index MF2-GARCH Volatility Analysis

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Volatility Forecast

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