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	0.3183	10.35***
α ARCH Response to squared shocks	0.0127	6.22***
β GARCH Volatility persistence	0.9384	550.72***
γ leverage Additional response to negative shocks	0.0801	17.32***

V-Lab

General Motors Co Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Motors Co Analyses