{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0959	5.14***
α ARCH Response to squared shocks	0.1602	13.71***
β GARCH Volatility persistence	0.8436	469.45***
γ leverage Additional response to negative shocks	-0.0076	-0.36

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Tsi Co., Ltd. Asymmetric ILLIQ Liquidity Analysis

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