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NAOS Small Cap Opportunities C 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 Wednesday, July 15th, 2026

1 Day

2,486,461.00

decreased by 19,428.00

1 Week

2,514,530.60

increased by 8,641.60

1 Month

2,185,910.36

decreased by 319,978.64

Analysis last updated: Wednesday, July 15, 2026 at 06:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of NAOS Small Cap Opportunities C ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Mar 25, 2004 to Jul 10, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.03
α

ARCH

Response to squared shocks

0.0153
3.22***
β

GARCH

Volatility persistence

0.9922
669.50***
γ

leverage

Additional response to negative shocks

-0.0149
-2.90***

Persistence:

1.000

Half-life:

-