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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6858	33.10***
γ leverage Additional response to negative shocks	0.2363	26.39***
λ₁ tau intercept Baseline long-term coefficient	0.1693	1.29
λ₂ forecast adj. Forecast performance sensitivity	0.1464	2.36**
λ₃ tau persistence Long-term factor persistence	0.6958	4.32***

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