{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2135	0.06
β GARCH Volatility persistence	0.8125	59.16***
γ leverage Additional response to negative shocks	-0.2135	-0.03
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.0326	0.10
λ₃ tau persistence Long-term factor persistence	0.9261	1.89*

V-Lab

Osaka Yuka Industr ILLIQ-MFMEM Liquidity Analysis

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