{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	0.0943	4.29***
β GARCH Volatility persistence	0.8852	121.26***
γ leverage Additional response to negative shocks	-0.0864	-2.58***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9980	376.18***

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CWD Limited ILLIQ-MFMEM Liquidity Analysis

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