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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.3159	16.59***
β GARCH Volatility persistence	0.2417	11.48***
γ leverage Additional response to negative shocks	0.0410	1.14
λ₁ tau intercept Baseline long-term coefficient	5.7390	0.70
λ₂ forecast adj. Forecast performance sensitivity	0.2645	0.96
λ₃ tau persistence Long-term factor persistence	0.6591	1.66*

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