{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0843	5.41***
β GARCH Volatility persistence	0.9013	203.42***
γ leverage Additional response to negative shocks	-0.0475	-1.66*
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9988	862.54***

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Cairn Homes plc ILLIQ-MFMEM Liquidity Analysis

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