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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0968	5.76***
β GARCH Volatility persistence	0.6553	33.89***
γ leverage Additional response to negative shocks	0.4894	7.71***
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.96***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9965	848.81***

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