{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	0.1506	0.42
β GARCH Volatility persistence	0.6938	24.27***
γ leverage Additional response to negative shocks	-0.0770	-0.11
λ₁ tau intercept Baseline long-term coefficient	7.4401	0.49
λ₂ forecast adj. Forecast performance sensitivity	0.1132	0.50
λ₃ tau persistence Long-term factor persistence	0.8862	19.01***

V-Lab

Japan Oil Transportation Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

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