Onelife Capital Advisors Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, October 26th, 2026
1 Day
5,171.63
increased by 915.09
1 Week
4,089.22
decreased by 167.32
1 Month
6,008.70
increased by 1,752.16
Analysis last updated: Sunday, October 25, 2026 at 04:39 AM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 17, 2011 to Oct 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6045 | 0.01 |
| αARCH | 0.3730 | 0.00 |
| βGARCH | 0.6270 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.1283 | 0.00 |
| γ2 | -8.7812 | 0.00 |
| γ3 | 18.2436 | 0.00 |
| γ4 | -10.8334 | 0.00 |
| γ5 | -4.4287 | 0.00 |
| γ6 | 4.1195 | 0.05 |
| γ7 | 2.6001 | 0.00 |
| γ8 | -2.3962 | -0.01 |
| γ9 | -1.5441 | -0.01 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6045 | 0.01 |
α ARCH Response to squared shocks | 0.3730 | 0.00 |
β GARCH Volatility persistence | 0.6270 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.1283 | 0.00 |
| γ2 | -8.7812 | 0.00 |
| γ3 | 18.2436 | 0.00 |
| γ4 | -10.8334 | 0.00 |
| γ5 | -4.4287 | 0.00 |
| γ6 | 4.1195 | 0.05 |
| γ7 | 2.6001 | 0.00 |
| γ8 | -2.3962 | -0.01 |
| γ9 | -1.5441 | -0.01 |
Persistence:
1.000
Half-life:
86643 days
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