V-Lab
GPI for Urban Growth Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Sunday, August 23rd, 2026
1 Day
1,225.26
decreased by 370.52
1 Week
993.60
decreased by 602.18
1 Month
958.22
decreased by 637.56
Analysis last updated: Friday, August 21, 2026 at 06:35 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 26, 2012 to Aug 20, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 32 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2894 | 2.68*** |
α ARCH Response to squared shocks | 0.2380 | 8.71*** |
β GARCH Volatility persistence | 0.7402 | 28.27*** |
Spline Coefficients
K=9
| γ1 | -5.4376 | -1.45 |
| γ2 | 13.3906 | 1.69* |
| γ3 | -12.4375 | -2.06** |
| γ4 | 6.1360 | 3.04*** |
| γ5 | -3.4451 | -4.76*** |
| γ6 | 3.0962 | 5.80*** |
| γ7 | -2.8451 | -5.21*** |
| γ8 | 3.0974 | 2.40** |
| γ9 | -2.4782 | -1.61 |
Persistence:
0.978
Half-life:
32 days
Other GPI for Urban Growth Analyses
Other Spline ILLIQ Analyses on International Equities