{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	0.1921	0.28
β GARCH Volatility persistence	0.6702	21.51***
γ leverage Additional response to negative shocks	-0.1732	-0.12
λ₁ tau intercept Baseline long-term coefficient	9.4317	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.1389	0.33
λ₃ tau persistence Long-term factor persistence	0.8611	10.38***

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Fenwal Controls Japan Ltd ILLIQ-MFMEM Liquidity Analysis

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