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	0.9600	4.49***
α ARCH Response to squared shocks	0.1986	6.35***
β GARCH Volatility persistence	0.8001	25.48***

γ₁	1.5734	0.38
γ₂	-5.4160	-0.86
γ₃	5.0343	0.81
γ₄	4.2892	0.46
γ₅	-1.5054	-0.13
γ₆	-19.5850	-1.34
γ₇	33.3579	2.72***

V-Lab

ETHK Labs Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ETHK Labs Inc Analyses