{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1514	2.25**
β GARCH Volatility persistence	0.8657	417.40***
γ leverage Additional response to negative shocks	-0.1514	-4.21***
λ₁ tau intercept Baseline long-term coefficient	0.4311	4.31***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9941	292.03***

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Takamatsu Machinery Co Ltd ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

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