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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.1812	7.69***
β GARCH Volatility persistence	0.7341	20.27***
γ leverage Additional response to negative shocks	-0.0232	-0.46
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8084	1.29

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