{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	0.1829	1.84*
β GARCH Volatility persistence	0.7754	46.96***
γ leverage Additional response to negative shocks	-0.1829	-0.79
λ₁ tau intercept Baseline long-term coefficient	10.0000	9.66***
λ₂ forecast adj. Forecast performance sensitivity	0.1696	6.72***
λ₃ tau persistence Long-term factor persistence	0.8267	7.76***

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Gcdi Sa ILLIQ-MFMEM Liquidity Analysis

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Liquidity Forecast

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