{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	0.1414	0.15
β GARCH Volatility persistence	0.6658	12.75***
γ leverage Additional response to negative shocks	-0.1414	-0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.4246	0.27
λ₃ tau persistence Long-term factor persistence	0.5754	0.43

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PM Capital Global Opportunities Fund Ltd ILLIQ-MFMEM Liquidity Analysis

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