{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1120	0.13
β GARCH Volatility persistence	0.7467	13.12***
γ leverage Additional response to negative shocks	-0.1120	-0.06
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.2412	0.16
λ₃ tau persistence Long-term factor persistence	0.7588	2.09**

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ICADE ILLIQ-MFMEM Liquidity Analysis

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