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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.3183	27.95***
β GARCH Volatility persistence	0.4873	33.95***
γ leverage Additional response to negative shocks	-0.1786	-13.42***
λ₁ tau intercept Baseline long-term coefficient	0.0644	0.45
λ₂ forecast adj. Forecast performance sensitivity	0.0733	2.27**
λ₃ tau persistence Long-term factor persistence	0.9227	23.57***

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