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	3.5710	3.72***
α ARCH Response to squared shocks	0.2310	8.53***
β GARCH Volatility persistence	0.7431	28.56***

γ₁	-2.3235	-0.61
γ₂	7.0309	0.88
γ₃	-7.8593	-1.29
γ₄	4.9032	2.24**
γ₅	-3.6202	-5.20***
γ₆	3.2211	6.65***
γ₇	-2.8914	-5.19***
γ₈	3.0995	2.48**
γ₉	-2.7848	-1.83*

V-Lab

GPI for Urban Growth Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GPI for Urban Growth Analyses