{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0709	1.10
β GARCH Volatility persistence	0.8564	36.32***
γ leverage Additional response to negative shocks	-0.0709	-0.46
λ₁ tau intercept Baseline long-term coefficient	0.2291	5.59***
λ₂ forecast adj. Forecast performance sensitivity	0.1072	2.65***
λ₃ tau persistence Long-term factor persistence	0.8872	6.08***

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Simon Property Group Inc ILLIQ-MFMEM Liquidity Analysis

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