{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	0.1311	0.61
β GARCH Volatility persistence	0.6636	9.89***
γ leverage Additional response to negative shocks	-0.1311	-0.29
λ₁ tau intercept Baseline long-term coefficient	0.2742	0.96
λ₂ forecast adj. Forecast performance sensitivity	0.0334	0.70
λ₃ tau persistence Long-term factor persistence	0.9663	96.72***

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Klepierre ILLIQ-MFMEM Liquidity Analysis

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