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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0570	13.02***
β GARCH Volatility persistence	0.6973	56.84***
γ leverage Additional response to negative shocks	0.1637	18.97***
λ₁ tau intercept Baseline long-term coefficient	0.0873	1.49
λ₂ forecast adj. Forecast performance sensitivity	0.0923	2.15**
λ₃ tau persistence Long-term factor persistence	0.8878	15.89***

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Interactive Brokers Group Inc MF2-GARCH Volatility Analysis

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