{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.4188	0.08
β GARCH Volatility persistence	0.4344	23.53***
γ leverage Additional response to negative shocks	-0.4188	-0.04
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0174	0.09
λ₃ tau persistence Long-term factor persistence	0.9826	94.43***

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Churchill China PLC ILLIQ-MFMEM Liquidity Analysis

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