{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0782	2.19**
β GARCH Volatility persistence	0.8794	79.26***
γ leverage Additional response to negative shocks	-0.0782	-0.91
λ₁ tau intercept Baseline long-term coefficient	9.5461	5.73***
λ₂ forecast adj. Forecast performance sensitivity	0.0217	3.17***
λ₃ tau persistence Long-term factor persistence	0.9752	111.02***

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Mercialys SA ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

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