{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0634	0.29
β GARCH Volatility persistence	0.8783	147.67***
γ leverage Additional response to negative shocks	-0.0634	-0.14
λ₁ tau intercept Baseline long-term coefficient	0.1914	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.2823	1.08
λ₃ tau persistence Long-term factor persistence	0.7031	0.93

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Hakuhodo Dy Hldgs ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

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