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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.5000	84.43***
β GARCH Volatility persistence	0.0000	0.03
γ leverage Additional response to negative shocks	-0.5000	-86.42***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0150	3.15***
λ₃ tau persistence Long-term factor persistence	0.9382	93.14***

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