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Param	Value	t-stat
mwindow	31
αARCH	0.1340	3.86***
βGARCH	0.8168	18.42***
γleverage	-0.0132	-0.22
λ₁tau intercept	0.0121	0.48
λ₂forecast adj.	0.0164	1.54
λ₃tau persistence	0.9836	81.33***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1340	3.86***
β GARCH Volatility persistence	0.8168	18.42***
γ leverage Additional response to negative shocks	-0.0132	-0.22
λ₁ tau intercept Baseline long-term coefficient	0.0121	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.0164	1.54
λ₃ tau persistence Long-term factor persistence	0.9836	81.33***

V-Lab

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