{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2479	15.93***
β GARCH Volatility persistence	0.7771	338.92***
γ leverage Additional response to negative shocks	-0.0595	-2.00**
λ₁ tau intercept Baseline long-term coefficient	0.0394	12.38***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9988	2,541.38***

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Dawn Corp ILLIQ-MFMEM Liquidity Analysis

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