{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0101	0.00
β GARCH Volatility persistence	0.4539	0.28
γ leverage Additional response to negative shocks	-0.0101	0.00
λ₁ tau intercept Baseline long-term coefficient	6.3032	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.5615	0.00
λ₃ tau persistence Long-term factor persistence	0.4385	0.00

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CEPS PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

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