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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.5171	22.25***
γ leverage Additional response to negative shocks	0.5000	24.54***
λ₁ tau intercept Baseline long-term coefficient	0.7232	1.66*
λ₂ forecast adj. Forecast performance sensitivity	0.8072	1.82*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CME Lumber MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Lumber Analyses