{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0517	18.18***
β GARCH Volatility persistence	0.9379	409.73***
γ leverage Additional response to negative shocks	-0.0447	-2.92***
λ₁ tau intercept Baseline long-term coefficient	0.0088	57.66***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.06
λ₃ tau persistence Long-term factor persistence	0.9993	4,922.44***

V-Lab

Bank of New York Mellon Corp/The ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

Other Bank of New York Mellon Corp/The Analyses