{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1299	0.87
β GARCH Volatility persistence	0.7169	15.79***
γ leverage Additional response to negative shocks	-0.1299	-0.38
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.0500	1.03
λ₃ tau persistence Long-term factor persistence	0.9500	48.74***

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Neuberger Private Equity Partners Ltd ILLIQ-MFMEM Liquidity Analysis

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