{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1321	1.15
β GARCH Volatility persistence	0.7752	10.33***
γ leverage Additional response to negative shocks	0.1854	1.85*
λ₁ tau intercept Baseline long-term coefficient	0.2657	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.9995	2.33**
λ₃ tau persistence Long-term factor persistence	0.0005	0.16

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Dusit Thani PCL ILLIQ-MFMEM Liquidity Analysis

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