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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0124	1.94*
β GARCH Volatility persistence	0.1764	5.36***
γ leverage Additional response to negative shocks	0.4519	13.56***
λ₁ tau intercept Baseline long-term coefficient	0.1949	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.0189	0.14
λ₃ tau persistence Long-term factor persistence	0.9321	1.58

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