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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1317	6.13***
β GARCH Volatility persistence	0.1928	5.95***
γ leverage Additional response to negative shocks	0.0475	2.36**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.8120	3.10***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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