{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1118	0.94
β GARCH Volatility persistence	0.7488	14.48***
γ leverage Additional response to negative shocks	-0.1118	-0.41
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.59
λ₂ forecast adj. Forecast performance sensitivity	0.0711	1.61
λ₃ tau persistence Long-term factor persistence	0.9289	26.87***

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NSI NV ILLIQ-MFMEM Liquidity Analysis

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