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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0842	23.97***
β GARCH Volatility persistence	0.8092	57.51***
γ leverage Additional response to negative shocks	-0.0450	-9.11***
λ₁ tau intercept Baseline long-term coefficient	0.1513	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.1764	0.78
λ₃ tau persistence Long-term factor persistence	0.7859	2.83***

V-Lab

Chicago SRW Wheat MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chicago SRW Wheat Analyses