{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2264	6.01***
β GARCH Volatility persistence	0.7933	200.38***
γ leverage Additional response to negative shocks	-0.0721	-1.09
λ₁ tau intercept Baseline long-term coefficient	0.3647	9.22***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9976	1,549.00***

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Prosafe Se ILLIQ-MFMEM Liquidity Analysis

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