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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0552	2.85***
β GARCH Volatility persistence	0.3151	4.51***
γ leverage Additional response to negative shocks	0.0977	6.17***
λ₁ tau intercept Baseline long-term coefficient	4.0046	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.7357	0.17
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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