{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9092	4.51***
α ARCH Response to squared shocks	0.0995	5.58***
β GARCH Volatility persistence	0.8261	30.21***

γ₁	-0.4890	-3.34***
γ₂	0.7250	3.69***
γ₃	-0.2552	-2.59***
γ₄	0.0413	0.43
γ₅	-0.0624	-0.75
γ₆	0.1334	1.38

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Neuberger Private Equity Partners Ltd Spline ILLIQ Liquidity Analysis

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