How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	1.0000	0.06
β GARCH Volatility persistence	0.2450	0.78
γ leverage Additional response to negative shocks	-0.5000	-0.02
λ₁ tau intercept Baseline long-term coefficient	0.1438	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1855	0.08
λ₃ tau persistence Long-term factor persistence	0.8145	1.54

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Naos Emerging Opportunities Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Naos Emerging Opportunities Co Ltd Analyses