Let $(g_n)_{n\geq 1}$ be a sequence of independent and identically distributed elements of the general linear group $GL(d, \mathbb R)$. Consider the random walk $G_n: = g_n \ldots g_1$. Under suitable conditions, we establish Bahadur-Rao-Petrov type large deviation expansion for the coefficients $\langle f, G_n v \rangle$, where $f \in (\mathbb R^d)^*$ and $v \in \mathbb R^d$. In particular, our result implies the large deviation principle with an explicit rate function, thus improving significantly the large deviation bounds established earlier. Moreover, we establish Bahadur-Rao-Petrov type large deviation expansion for the coefficients $\langle f, G_n v \rangle$ under the changed measure. Toward this end we prove the Hölder regularity of the stationary measure corresponding to the Markov chain $G_n v /|G_n v|$ under the changed measure, which is of independent interest. In addition, we also prove local limit theorems with large deviations for the coefficients of $G_n$.