How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3872	3.49***
α ARCH Response to squared shocks	0.1719	3.99***
β GARCH Volatility persistence	0.7260	12.94***

γ₁	1.5925	1.88*
γ₂	-1.7280	-1.33
γ₃	0.2534	0.31
γ₄	0.0707	0.09
γ₅	-1.1082	-1.52
γ₆	1.9066	2.23**
γ₇	-1.4113	-1.34
γ₈	1.9200	1.13
γ₉	-2.9321	-0.94
γ₁₀	-0.0782	-0.02

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Naos Emerging Opportunities Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Naos Emerging Opportunities Co Ltd Analyses