{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0537	1.12
β GARCH Volatility persistence	0.8971	43.57***
γ leverage Additional response to negative shocks	0.0180	0.20
λ₁ tau intercept Baseline long-term coefficient	0.1192	3.84***
λ₂ forecast adj. Forecast performance sensitivity	0.1350	1.37
λ₃ tau persistence Long-term factor persistence	0.8615	3.78***

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General Electric Co ILLIQ-MFMEM Liquidity Analysis

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