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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	61
α ARCH Response to squared shocks	0.0361	9.54***
β GARCH Volatility persistence	0.8152	86.31***
γ leverage Additional response to negative shocks	0.1029	17.45***
λ₁ tau intercept Baseline long-term coefficient	0.0128	2.36**
λ₂ forecast adj. Forecast performance sensitivity	0.0556	3.15***
λ₃ tau persistence Long-term factor persistence	0.9412	49.28***

V-Lab

General Electric Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other General Electric Co Analyses