{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.85
α ARCH Response to squared shocks	0.0058	6.39***
β GARCH Volatility persistence	0.9870	1,100.34***
γ leverage Additional response to negative shocks	0.0145	5.89***

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Grace Kennedy Ltd Asymmetric ILLIQ Liquidity Analysis

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