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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0591	13.29***
β GARCH Volatility persistence	0.6949	56.19***
γ leverage Additional response to negative shocks	0.1623	18.75***
λ₁ tau intercept Baseline long-term coefficient	0.0910	1.54
λ₂ forecast adj. Forecast performance sensitivity	0.0924	2.15**
λ₃ tau persistence Long-term factor persistence	0.8864	15.77***

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Interactive Brokers Group Inc MF2-GARCH Volatility Analysis

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