{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0828	9.68***
β GARCH Volatility persistence	0.9142	508.46***
γ leverage Additional response to negative shocks	-0.0828	-4.70***
λ₁ tau intercept Baseline long-term coefficient	10.0000	30.69***
λ₂ forecast adj. Forecast performance sensitivity	0.1149	81.56***
λ₃ tau persistence Long-term factor persistence	0.8502	43.30***

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Prothena Corp PLC ILLIQ-MFMEM Liquidity Analysis

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