{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0437	19.60***
β GARCH Volatility persistence	0.9488	711.80***
γ leverage Additional response to negative shocks	-0.0437	-5.54***
λ₁ tau intercept Baseline long-term coefficient	0.0011	14.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9994	1,282.97***

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Merck & Co Inc ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

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