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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0725	6.76***
β GARCH Volatility persistence	0.6775	371.82***
γ leverage Additional response to negative shocks	0.5000	20.07***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.59***
λ₂ forecast adj. Forecast performance sensitivity	0.2065	2.39**
λ₃ tau persistence Long-term factor persistence	0.7935	7.89***

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