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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1793	17.04***
β GARCH Volatility persistence	0.6593	27.34***
γ leverage Additional response to negative shocks	-0.0375	-3.46***
λ₁ tau intercept Baseline long-term coefficient	3.5316	0.87
λ₂ forecast adj. Forecast performance sensitivity	0.3456	0.76
λ₃ tau persistence Long-term factor persistence	0.5616	0.99

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