{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0650	18.18***
β GARCH Volatility persistence	0.9244	480.97***
γ leverage Additional response to negative shocks	-0.0312	-3.47***
λ₁ tau intercept Baseline long-term coefficient	0.7049	24.21***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9991	2,555.16***

V-Lab

Lvmh Moet Hennessy Louis V ILLIQ-MFMEM Liquidity Analysis

Date Range:

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