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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0176	10.46***
β GARCH Volatility persistence	0.9309	251.18***
γ leverage Additional response to negative shocks	0.0398	14.89***
λ₁ tau intercept Baseline long-term coefficient	0.0260	3.70***
λ₂ forecast adj. Forecast performance sensitivity	0.0169	3.42***
λ₃ tau persistence Long-term factor persistence	0.9774	152.86***

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Deutsche Lufthansa AG MF2-GARCH Volatility Analysis

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