ARES returns

μ

θ⁽¹⁾

θ⁽²⁾

θ⁽³⁾

θ⁽⁴⁾

θ⁽⁵⁾

θ⁽⁶⁾

θ⁽⁷⁾

θ⁽⁸⁾

θ⁽⁹⁾

θ⁽¹⁰⁾

coefficients

0.00

1.25

0.16

−0.15

−0.07

−0.43

0.06

0.02

0.14

0.21

−0.22

t-values

2.17

18.62

1.48

−1.35

−0.67

−4.03

0.57

0.23

1.37

2.02

−3.29

de-smoothed returns

μ

θ⁽¹⁾

θ⁽²⁾

θ⁽³⁾

θ⁽⁴⁾

θ⁽⁵⁾

θ⁽⁶⁾

θ⁽⁷⁾

θ⁽⁸⁾

θ⁽⁹⁾

θ⁽¹⁰⁾

coefficients

0.01

−0.03

0.03

0.04

0.02

−0.01

−0.06

−0.03

0.02

0.05

0.09

t-values

2.36

−0.40

0.37

0.54

0.30

−0.15

−0.84

−0.45

0.34

0.67

1.23