{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0533	30.41***
β GARCH Volatility persistence	0.9368	712.36***
γ leverage Additional response to negative shocks	-0.0533	-8.63***
λ₁ tau intercept Baseline long-term coefficient	0.0014	46.45***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9993	3,265.76***

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Home Depot Inc/The ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

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