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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0797	17.81***
β GARCH Volatility persistence	0.7373	68.90***
γ leverage Additional response to negative shocks	-0.0012	-0.22
λ₁ tau intercept Baseline long-term coefficient	0.6254	3.18***
λ₂ forecast adj. Forecast performance sensitivity	0.8491	11.17***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

ICE US Sugar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Sugar Analyses