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	1.0217	6.69***
α ARCH Response to squared shocks	0.0474	11.76***
β GARCH Volatility persistence	0.9508	219.67***

γ₁	-0.0049	-1.83*
γ₂	0.0065	1.21

V-Lab

RTX Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other RTX Corp Analyses