{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0826	0.16
β GARCH Volatility persistence	0.9111	28.11***
γ leverage Additional response to negative shocks	0.0124	0.01
λ₁ tau intercept Baseline long-term coefficient	9.1998	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1663	0.81
λ₃ tau persistence Long-term factor persistence	0.8337	0.70

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Reach Subsea Asa ILLIQ-MFMEM Liquidity Analysis

Date Range:

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