V-Lab
ETHK Labs Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
1,119,106.00
decreased by 152,697.00
1 Week
1,060,116.14
decreased by 211,686.86
1 Month
468,022.98
decreased by 803,780.02
Analysis last updated: Saturday, August 22, 2026 at 08:59 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 12, 2019 to Aug 21, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 524 trading days (~2.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9438 | 4.39*** |
α ARCH Response to squared shocks | 0.2041 | 6.40*** |
β GARCH Volatility persistence | 0.7946 | 24.84*** |
Spline Coefficients
K=7
| γ1 | 1.5445 | 0.38 |
| γ2 | -5.6677 | -0.91 |
| γ3 | 5.4774 | 0.84 |
| γ4 | 4.2802 | 0.44 |
| γ5 | -1.1402 | -0.09 |
| γ6 | -20.9345 | -1.48 |
| γ7 | 37.5818 | 3.03*** |
Persistence:
0.999
Half-life:
524 days
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