V-Lab
High Templar Tech Limited Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
103,691.70
decreased by 5,296.80
1 Week
99,635.46
decreased by 9,353.04
1 Month
76,163.15
decreased by 32,825.35
Analysis last updated: Friday, August 21, 2026 at 10:47 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 18, 2017 to Aug 21, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 883 trading days (~3.5 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 | 0.9325 | 8.07*** |
α ARCH Response to squared shocks | 0.1427 | 9.58*** |
β GARCH Volatility persistence | 0.8565 | 58.82*** |
Spline Coefficients
K=1
| γ1 | 0.0064 | 0.10 |
Persistence:
0.999
Half-life:
883 days
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