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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0523	9.86***
β GARCH Volatility persistence	0.8232	45.63***
γ leverage Additional response to negative shocks	-0.0208	-3.07***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.7446	0.79
λ₃ tau persistence Long-term factor persistence	0.1248	0.08

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