{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0778	0.11
β GARCH Volatility persistence	0.6120	3.10***
γ leverage Additional response to negative shocks	0.2779	0.21
λ₁ tau intercept Baseline long-term coefficient	2.8374	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.9988	0.10
λ₃ tau persistence Long-term factor persistence	0.0012	0.11

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CRRC Corp Ltd ILLIQ-MFMEM Liquidity Analysis

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