{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2114	0.85
β GARCH Volatility persistence	0.7123	344.43***
γ leverage Additional response to negative shocks	-0.2114	-0.41
λ₁ tau intercept Baseline long-term coefficient	0.2720	0.93
λ₂ forecast adj. Forecast performance sensitivity	0.9994	0.84
λ₃ tau persistence Long-term factor persistence	0.0006	0.39

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Tsi Co., Ltd. ILLIQ-MFMEM Liquidity Analysis

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