{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	0.1233	0.09
β GARCH Volatility persistence	0.7256	12.76***
γ leverage Additional response to negative shocks	-0.1233	-0.05
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.1118	0.11
λ₃ tau persistence Long-term factor persistence	0.8882	3.92***

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Herald Investment Trust PLC ILLIQ-MFMEM Liquidity Analysis

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