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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1309	6.01***
β GARCH Volatility persistence	0.1895	5.80***
γ leverage Additional response to negative shocks	0.0470	2.34**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.89
λ₂ forecast adj. Forecast performance sensitivity	0.8125	3.06***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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