{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0509	3.86***
β GARCH Volatility persistence	0.9223	135.27***
γ leverage Additional response to negative shocks	-0.0509	-1.64
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.0124	7.75***
λ₃ tau persistence Long-term factor persistence	0.9876	200.69***

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Taaleem Holdings Pjsc ILLIQ-MFMEM Liquidity Analysis

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