V-Lab: NAOS Small Cap Opportunities C Spline ILLIQ Liquidity Analysis

V-Lab

NAOS Small Cap Opportunities C Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, June 30th, 2025:1,246,869.00 (10,507.00)

Analysis last updated: Sunday, June 29, 2025 at 02:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1671	4.76
$α$	0.1852	5.08
$β$	0.7043	15.75
$γ_{1}$	0.3238	3.13
$γ_{2}$	-0.4365	-2.89
$γ_{3}$	0.1353	1.31
$γ_{4}$	-0.0720	-0.70
$γ_{5}$	0.3066	2.58
$γ_{6}$	-0.5564	-3.99
$γ_{7}$	0.9387	4.29
$γ_{8}$	-1.7476	-3.06

Estimation Period:
Mar 25, 2004 to Jun 27, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other NAOS Small Cap Opportunities C Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM