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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.2953	13.44***
β GARCH Volatility persistence	0.5145	21.09***
γ leverage Additional response to negative shocks	-0.0859	-2.72***
λ₁ tau intercept Baseline long-term coefficient	1.8566	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.1103	1.61
λ₃ tau persistence Long-term factor persistence	0.8488	8.95***

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