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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0347	1.24
β GARCH Volatility persistence	0.2606	3.50***
γ leverage Additional response to negative shocks	0.1079	1.50
λ₁ tau intercept Baseline long-term coefficient	2.7144	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.1440	0.06
λ₃ tau persistence Long-term factor persistence	0.6842	0.11

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