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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of NAOS Small Cap Opportunities C ILLIQ-SMEM

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

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

ParameterValuet-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***
γi Spline Coefficients
K=10
γ10.2374
0.91
γ2-0.1816
-0.45
γ3-0.2239
-0.73
γ40.2899
1.04
γ5-0.2321
-0.80
γ60.5370
1.25
γ7-1.6589
-2.23**
γ83.6325
2.21**
γ9-4.3284
-2.09**
γ102.9042
1.52

Persistence:

0.983

Half-life:

41 days