V-Lab
GPI for Urban Growth Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Sunday, August 9th, 2026
1 Day
731.36
increased by 46.30
1 Week
838.16
increased by 153.10
1 Month
1,085.95
increased by 400.89
Analysis last updated: Friday, August 7, 2026 at 06:34 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 26, 2012 to Aug 6, 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 26 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| 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*** |
Spline Coefficients
K=9
| 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* |
Persistence:
0.974
Half-life:
26 days
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