{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	0.1797	1.76*
β GARCH Volatility persistence	0.8362	120.86***
γ leverage Additional response to negative shocks	-0.1797	-2.32**
λ₁ tau intercept Baseline long-term coefficient	0.3607	4.94***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9912	127.27***

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Chien Shing Harbour Service ILLIQ-MFMEM Liquidity Analysis

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