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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0774	39.17***
β GARCH Volatility persistence	0.9152	420.99***
γ leverage Additional response to negative shocks	-0.0215	-8.66***
λ₁ tau intercept Baseline long-term coefficient	0.0017	12.18***
λ₂ forecast adj. Forecast performance sensitivity	0.0032	9.05***
λ₃ tau persistence Long-term factor persistence	0.9959	2,343.37***

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S&P GSCI Soybeans Index MF2-GARCH Volatility Analysis

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