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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3583	6.45***
β GARCH Volatility persistence	0.6469	12.54***
γ leverage Additional response to negative shocks	-0.3028	-5.73***
λ₁ tau intercept Baseline long-term coefficient	0.0722	0.71
λ₂ forecast adj. Forecast performance sensitivity	1.0000	6.10***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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