{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1145	0.07
β GARCH Volatility persistence	0.7177	19.21***
γ leverage Additional response to negative shocks	0.0084	0.00
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.0179	0.07
λ₃ tau persistence Long-term factor persistence	0.9821	138.91***

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Grace Kennedy Ltd ILLIQ-MFMEM Liquidity Analysis

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