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British American Tobacco Kenya Ltd ILLIQ-MFMEM Liquidity Analysis

Liquidity prediction for Monday, July 20th, 2026

1 Day

2,023.28

decreased by 167.46

1 Week

2,175.97

decreased by 14.77

1 Month

2,293.92

increased by 103.18

Analysis last updated: Sunday, July 19, 2026 at 02:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of British American Tobacco Kenya Ltd ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 14, 1991 to Jul 17, 2026

Model Insight

Illiquidity shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.

μ

ILLIQ-MFMEM Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

116
α

ARCH

Response to squared shocks

0.0727
0.83
β

GARCH

Volatility persistence

0.7839
18.45***
γ

leverage

Additional response to negative shocks

0.2003
1.70*
λ₁

tau intercept

Baseline long-term coefficient

10.0000
0.04
λ₂

forecast adj.

Forecast performance sensitivity

0.0446
1.26
λ₃

tau persistence

Long-term factor persistence

0.9554
23.49***

Persistence:

0.957

Half-life:

16 days