{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.5550	0.03
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.0531	0.00
λ₁ tau intercept Baseline long-term coefficient	1.7439	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.4852	0.03
λ₃ tau persistence Long-term factor persistence	0.5148	0.13

V-Lab

Sonha Saigon Joint ILLIQ-MFMEM Liquidity Analysis

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Liquidity Forecast

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