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	126
α ARCH Response to squared shocks	0.1589	1.91*
β GARCH Volatility persistence	0.8159	67.54***
γ leverage Additional response to negative shocks	0.0305	0.21
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0211	3.59***
λ₃ tau persistence Long-term factor persistence	0.9788	56.17***

V-Lab

GPI for Urban Growth ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GPI for Urban Growth Analyses