{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0995	1.02
β GARCH Volatility persistence	0.8147	29.97***
γ leverage Additional response to negative shocks	-0.0995	-0.47
λ₁ tau intercept Baseline long-term coefficient	1.1502	2.13**
λ₂ forecast adj. Forecast performance sensitivity	0.0240	1.19
λ₃ tau persistence Long-term factor persistence	0.9747	156.79***

V-Lab

Warehouses De Pauw CVA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

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