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	1.8818	2.64***
α ARCH Response to squared shocks	0.1870	7.35***
β GARCH Volatility persistence	0.8004	34.24***

γ₁	0.1996	0.74
γ₂	-0.1104	-0.27
γ₃	-0.3344	-1.08
γ₄	0.5784	1.82*
γ₅	-1.5616	-2.05**
γ₆	3.7722	2.08**
γ₇	-5.2129	-2.30**
γ₈	5.3310	2.58***
γ₉	-4.5766	-2.43**
γ₁₀	2.9204	1.64

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NAOS Small Cap Opportunities C Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NAOS Small Cap Opportunities C Analyses