{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	0.1888	0.11
β GARCH Volatility persistence	0.7480	8.63***
γ leverage Additional response to negative shocks	-0.1888	-0.05
λ₁ tau intercept Baseline long-term coefficient	8.9849	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.2696	0.23
λ₃ tau persistence Long-term factor persistence	0.7298	0.55

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Zahrat Al Waha For ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

Other Zahrat Al Waha For Analyses