{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0264	2.77***
β GARCH Volatility persistence	0.9736	902.30***
γ leverage Additional response to negative shocks	-0.0264	-1.57
λ₁ tau intercept Baseline long-term coefficient	10.0000	3.97***
λ₂ forecast adj. Forecast performance sensitivity	0.8542	2.37**
λ₃ tau persistence Long-term factor persistence	0.0000	0.23

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Big Yellow Group PLC ILLIQ-MFMEM Liquidity Analysis

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