{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0575	1.59
β GARCH Volatility persistence	0.8889	26.42***
γ leverage Additional response to negative shocks	-0.0575	-0.53
λ₁ tau intercept Baseline long-term coefficient	0.0066	5.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0315	3.03***
λ₃ tau persistence Long-term factor persistence	0.9673	32.00***

V-Lab

Johnson & Johnson ILLIQ-MFMEM Liquidity Analysis

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Liquidity Forecast

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