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	0.0643	7.58***
α ARCH Response to squared shocks	0.0249	21.02***
β GARCH Volatility persistence	0.9541	1,080.52***
γ leverage Additional response to negative shocks	0.0420	24.22***

V-Lab

RTX Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other RTX Corp Analyses