{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.2011	6.40***
β GARCH Volatility persistence	0.8157	219.33***
γ leverage Additional response to negative shocks	-0.0695	-1.22
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9990	766.13***

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Uniform Industrial ILLIQ-MFMEM Liquidity Analysis

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