{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0576	2.68***
β GARCH Volatility persistence	0.9491	316.80***
γ leverage Additional response to negative shocks	-0.0576	-1.33
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0076	5.48***
λ₃ tau persistence Long-term factor persistence	0.9849	236.76***

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Masood Textile Mills Ltd ILLIQ-MFMEM Liquidity Analysis

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