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	0.0543	10.43***
β GARCH Volatility persistence	0.8978	78.27***
γ leverage Additional response to negative shocks	-0.0023	-0.13
λ₁ tau intercept Baseline long-term coefficient	0.0856	2.02**
λ₂ forecast adj. Forecast performance sensitivity	0.1200	4.10***
λ₃ tau persistence Long-term factor persistence	0.8768	29.25***

V-Lab

General Electric Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Electric Co Analyses