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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0138	8.42***
α ARCH Response to squared shocks	0.0195	11.28***
β GARCH Volatility persistence	0.9525	703.98***
γ leverage Additional response to negative shocks	0.0526	13.29***

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General Electric Co GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other General Electric Co Analyses