{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3704	5.06***
α ARCH Response to squared shocks	0.3118	7.61***
β GARCH Volatility persistence	0.6874	16.97***

γ₁	-0.9310	-1.07
γ₂	1.2634	1.04
γ₃	-5.1413	-1.88*
γ₄	14.8661	1.92*
γ₅	-17.7047	-1.91*
γ₆	11.9585	1.90*
γ₇	-13.9490	-1.55
γ₈	23.6291	1.55

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Intech Online Ltd Spline ILLIQ Liquidity Analysis

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