How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0541	1.12
β GARCH Volatility persistence	0.8965	41.80***
γ leverage Additional response to negative shocks	0.0165	0.18
λ₁ tau intercept Baseline long-term coefficient	0.1148	3.86***
λ₂ forecast adj. Forecast performance sensitivity	0.1318	1.36
λ₃ tau persistence Long-term factor persistence	0.8647	3.88***

V-Lab

General Electric Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Electric Co Analyses