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	51
α ARCH Response to squared shocks	0.0628	0.29
β GARCH Volatility persistence	0.8793	130.35***
γ leverage Additional response to negative shocks	-0.0628	-0.15
λ₁ tau intercept Baseline long-term coefficient	1.1633	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.4131	0.81
λ₃ tau persistence Long-term factor persistence	0.5288	0.51

V-Lab

General Motors Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Motors Co Analyses