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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0949	18.76***
β GARCH Volatility persistence	0.6914	60.21***
γ leverage Additional response to negative shocks	0.0947	11.77***
λ₁ tau intercept Baseline long-term coefficient	0.1963	1.52
λ₂ forecast adj. Forecast performance sensitivity	0.1289	1.57
λ₃ tau persistence Long-term factor persistence	0.8330	7.80***

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