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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0877	7.84***
β GARCH Volatility persistence	0.4796	8.94***
γ leverage Additional response to negative shocks	0.0802	4.05***
λ₁ tau intercept Baseline long-term coefficient	3.7708	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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