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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.2411	3.43***
αARCH	0.1905	5.86***
βGARCH	0.7531	23.36***

γ₁	0.2951	1.53
γ₂	-0.2811	-0.96
γ₃	-0.1414	-0.65
γ₄	0.2209	1.16
γ₅	-0.1893	-1.01
γ₆	0.5163	1.81*
γ₇	-1.1495	-2.97***
γ₈	2.0046	3.49***
γ₉	-2.5007	-3.09***
γ₁₀	2.0927	2.03**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2411	3.43***
α ARCH Response to squared shocks	0.1905	5.86***
β GARCH Volatility persistence	0.7531	23.36***

γ₁	0.2951	1.53
γ₂	-0.2811	-0.96
γ₃	-0.1414	-0.65
γ₄	0.2209	1.16
γ₅	-0.1893	-1.01
γ₆	0.5163	1.81*
γ₇	-1.1495	-2.97***
γ₈	2.0046	3.49***
γ₉	-2.5007	-3.09***
γ₁₀	2.0927	2.03**

V-Lab

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