Naos Emerging Opportunities Co Ltd Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
1,480,500.00
decreased by 324,958.00
1 Week
1,925,917.00
increased by 120,459.00
1 Month
2,321,338.48
increased by 515,880.48
Analysis last updated: Saturday, July 18, 2026 at 08:47 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 26, 2013 to Jul 17, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.3207 | 0.52 |
β GARCH Volatility persistence | 0.8200 | 7.70*** |
γ leverage Additional response to negative shocks | -0.2815 | -0.47 |
Persistence:
1.000
Half-life:
-
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