{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0726	2.05**
α ARCH Response to squared shocks	0.1484	6.35***
β GARCH Volatility persistence	0.8485	39.92***

γ₁	-6.4417	-2.21**
γ₂	14.0588	2.76***
γ₃	-10.7219	-3.04***
γ₄	0.6126	0.29
γ₅	6.2537	4.07***
γ₆	-5.4938	-4.54***
γ₇	1.8127	1.20

V-Lab

Sonha Saigon Joint Spline ILLIQ Liquidity Analysis

Date Range:

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