{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	1.0000	7.19***
β GARCH Volatility persistence	0.0000	10.00***
γ leverage Additional response to negative shocks	-0.5000	-1.81*
λ₁ tau intercept Baseline long-term coefficient	0.0100	0.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	5.53***
λ₃ tau persistence Long-term factor persistence	0.0001	0.00

V-Lab

Roche Bobois SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

Other Roche Bobois SA Analyses