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 Thursday, May 8th, 2025:2,090,767.00 (-280,264.00)

Analysis last updated: Thursday, May 8, 2025 at 09:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0969	4.81
$α$	0.1801	5.11
$β$	0.6839	13.84
$γ_{1}$	0.3162	2.37
$γ_{2}$	-0.3521	-1.76
$γ_{3}$	-0.0312	-0.22
$γ_{4}$	0.0928	0.74
$γ_{5}$	0.0069	0.07
$γ_{6}$	0.1796	1.36
$γ_{7}$	-0.5527	-3.30
$γ_{8}$	1.1157	4.34
$γ_{9}$	-2.0998	-2.91

Estimation Period:
Mar 25, 2004 to May 2, 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