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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.1541	5.86***
β GARCH Volatility persistence	0.4739	8.79***
γ leverage Additional response to negative shocks	-0.1011	-2.84***
λ₁ tau intercept Baseline long-term coefficient	2.6245	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.1195	0.13
λ₃ tau persistence Long-term factor persistence	0.7059	0.30

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