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Param	Value	t-stat
mwindow	126
αARCH	0.2254	5.97***
βGARCH	0.7350	23.55***
γleverage	-0.1121	-2.90***
λ₁tau intercept	0.0754	0.81
λ₂forecast adj.	0.0926	1.56
λ₃tau persistence	0.9012	13.68***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2254	5.97***
β GARCH Volatility persistence	0.7350	23.55***
γ leverage Additional response to negative shocks	-0.1121	-2.90***
λ₁ tau intercept Baseline long-term coefficient	0.0754	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.0926	1.56
λ₃ tau persistence Long-term factor persistence	0.9012	13.68***

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