{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	0.0505	32.79***
β GARCH Volatility persistence	0.9453	999.30***
γ leverage Additional response to negative shocks	-0.0505	-10.23***
λ₁ tau intercept Baseline long-term coefficient	0.0020	221.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.9991	3,409.97***

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Caterpillar Inc ILLIQ-MFMEM Liquidity Analysis

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