{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1166	1.31
β GARCH Volatility persistence	0.8736	50.35***
γ leverage Additional response to negative shocks	-0.0217	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.0328	8.57***
λ₃ tau persistence Long-term factor persistence	0.9672	36.28***

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Skjern Bank ILLIQ-MFMEM Liquidity Analysis

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