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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0031	0.74
β GARCH Volatility persistence	0.8431	76.96***
γ leverage Additional response to negative shocks	0.0938	16.85***
λ₁ tau intercept Baseline long-term coefficient	0.1496	0.93
λ₂ forecast adj. Forecast performance sensitivity	0.2154	0.88
λ₃ tau persistence Long-term factor persistence	0.7571	2.74***

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State Street SPDR S&P Metals & Mining ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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