NAOS Small Cap Opportunities C Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
115,810,300.00
decreased by 23,047,300.00
1 Week
170,354,700.00
increased by 31,497,100.00
1 Month
49,670,192.27
decreased by 89,187,407.73
Analysis last updated: Wednesday, July 15, 2026 at 06:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 25, 2004 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 41 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6331 | 2.56** |
α ARCH Response to squared shocks | 0.1677 | 6.83*** |
β GARCH Volatility persistence | 0.8154 | 29.98*** |
Spline Coefficients
K=10
| γ1 | 0.2374 | 0.91 |
| γ2 | -0.1816 | -0.45 |
| γ3 | -0.2239 | -0.73 |
| γ4 | 0.2899 | 1.04 |
| γ5 | -0.2321 | -0.80 |
| γ6 | 0.5370 | 1.25 |
| γ7 | -1.6589 | -2.23** |
| γ8 | 3.6325 | 2.21** |
| γ9 | -4.3284 | -2.09** |
| γ10 | 2.9042 | 1.52 |
Persistence:
0.983
Half-life:
41 days
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