{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0573	3.60***
β GARCH Volatility persistence	0.9142	76.17***
γ leverage Additional response to negative shocks	-0.0546	-0.94
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0115	2.27**
λ₃ tau persistence Long-term factor persistence	0.9880	113.97***

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MasterCard Inc ILLIQ-MFMEM Liquidity Analysis

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