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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.7259	11.47***
β GARCH Volatility persistence	0.0340	2.58***
γ leverage Additional response to negative shocks	-0.4066	-4.20***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.2851	0.33
λ₃ tau persistence Long-term factor persistence	0.6899	0.67

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