How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8273	2.60***
α ARCH Response to squared shocks	0.1901	7.05***
β GARCH Volatility persistence	0.7957	32.62***

γ₁	0.2135	0.82
γ₂	-0.1370	-0.34
γ₃	-0.3027	-1.01
γ₄	0.5238	1.76*
γ₅	-1.2844	-2.12**
γ₆	3.0531	2.22**
γ₇	-4.3047	-2.48**
γ₈	4.6102	2.81***
γ₉	-4.1673	-2.65***
γ₁₀	2.8269	1.74*

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