V-Lab
ETHK Labs Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 17th, 2026
1 Day
144,608.40
increased by 25,397.70
1 Week
137,928.38
increased by 18,717.68
1 Month
156,814.02
increased by 37,603.32
Analysis last updated: Saturday, August 15, 2026 at 08:28 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 12, 2019 to Aug 14, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 562 trading days (~2.2 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 | 0.9600 | 4.49*** |
α ARCH Response to squared shocks | 0.1986 | 6.35*** |
β GARCH Volatility persistence | 0.8001 | 25.48*** |
Spline Coefficients
K=7
| 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*** |
Persistence:
0.999
Half-life:
562 days
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