{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1499	0.27
β GARCH Volatility persistence	0.7591	35.14***
γ leverage Additional response to negative shocks	-0.1499	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.5320	0.72
λ₃ tau persistence Long-term factor persistence	0.4680	0.38

V-Lab

Ellington Credit Co ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

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