{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0540	1.23
β GARCH Volatility persistence	0.8798	23.33***
γ leverage Additional response to negative shocks	-0.0540	-0.44
λ₁ tau intercept Baseline long-term coefficient	0.0160	5.23***
λ₂ forecast adj. Forecast performance sensitivity	0.0549	2.12**
λ₃ tau persistence Long-term factor persistence	0.9433	12.94***

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Procter & Gamble Co/The ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Liquidity Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses