{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1673	0.09
β GARCH Volatility persistence	0.4112	2.70***
γ leverage Additional response to negative shocks	-0.1640	-0.04
λ₁ tau intercept Baseline long-term coefficient	0.0259	0.25
λ₂ forecast adj. Forecast performance sensitivity	0.6796	0.12
λ₃ tau persistence Long-term factor persistence	0.3204	0.14

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DB Insurance Co Ltd ILLIQ-MFMEM Liquidity Analysis

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