{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	0.1097	0.94
β GARCH Volatility persistence	0.9314	350.69***
γ leverage Additional response to negative shocks	-0.0822	-0.35
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.0017	0.64
λ₃ tau persistence Long-term factor persistence	0.9952	1,429.84***

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Lubawa Sa ILLIQ-MFMEM Liquidity Analysis

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