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	76
α ARCH Response to squared shocks	0.3489	0.17
β GARCH Volatility persistence	0.4540	9.45***
γ leverage Additional response to negative shocks	0.2661	0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0143	0.18
λ₃ tau persistence Long-term factor persistence	0.9857	38.50***

V-Lab

NAOS Small Cap Opportunities C ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NAOS Small Cap Opportunities C Analyses