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 2nd, 2025:989,486.00 (44,050.50)

Analysis last updated: Saturday, May 31, 2025 at 08:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0836	4.95
$α$	0.1756	5.13
$β$	0.6793	13.40
$γ_{1}$	0.3174	2.48
$γ_{2}$	-0.3585	-1.87
$γ_{3}$	-0.0201	-0.15
$γ_{4}$	0.0809	0.67
$γ_{5}$	0.0250	0.25
$γ_{6}$	0.1488	1.21
$γ_{7}$	-0.5107	-3.34
$γ_{8}$	1.0821	5.09
$γ_{9}$	-2.2242	-3.43

Estimation Period:
Mar 25, 2004 to May 30, 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