{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	0.0638	0.13
β GARCH Volatility persistence	0.8557	55.29***
γ leverage Additional response to negative shocks	-0.0638	-0.07
λ₁ tau intercept Baseline long-term coefficient	1.7655	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.5895	0.22
λ₃ tau persistence Long-term factor persistence	0.3311	0.16

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General Motors Co ILLIQ-MFMEM Liquidity Analysis

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