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	2.2894	2.68***
α ARCH Response to squared shocks	0.2380	8.71***
β GARCH Volatility persistence	0.7402	28.27***

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

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