How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0366	1.21
α ARCH Response to squared shocks	0.0180	4.16***
β GARCH Volatility persistence	0.9572	305.51***
γ leverage Additional response to negative shocks	0.0489	6.28***

V-Lab

General Electric Co Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Electric Co Analyses