General Motors Co Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
29.36
decreased by 1.71
1 Week
30.07
decreased by 1.00
1 Month
29.93
decreased by 1.14
Analysis last updated: Monday, July 20, 2026 at 09:43 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 18, 2010 to Jul 17, 2026Model Insight
With persistence 0.996, illiquidity shocks have a half-life of 163 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1578 | 7.52*** |
α ARCH Response to squared shocks | 0.0698 | 9.99*** |
β GARCH Volatility persistence | 0.9260 | 127.36*** |
Spline Coefficients
K=1
| γ1 | -0.0112 | -2.30** |
Persistence:
0.996
Half-life:
163 days
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