{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1254	4.97***
β GARCH Volatility persistence	0.8797	352.87***
γ leverage Additional response to negative shocks	-0.1254	-8.01***
λ₁ tau intercept Baseline long-term coefficient	2.4297	9.83***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9968	984.96***

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Danieli & C. Officine Meccaniche S.p.A. ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

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