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	0.3180	2.61***
α ARCH Response to squared shocks	0.0131	1.59
β GARCH Volatility persistence	0.9384	137.88***
γ leverage Additional response to negative shocks	0.0793	4.29***

V-Lab

General Motors Co Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Motors Co Analyses