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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0521	9.93***
β GARCH Volatility persistence	0.8233	45.41***
γ leverage Additional response to negative shocks	-0.0200	-2.97***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.7347	0.83
λ₃ tau persistence Long-term factor persistence	0.1312	0.09

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