{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4249	4.27***
α ARCH Response to squared shocks	0.0545	7.60***
β GARCH Volatility persistence	0.9401	114.07***

γ₁	-0.0346	-4.34***
γ₂	0.0674	5.21***
γ₃	-0.0435	-4.50***

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Klepierre Spline ILLIQ Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

Other Klepierre Analyses