How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0728	0.84
β GARCH Volatility persistence	0.7831	18.35***
γ leverage Additional response to negative shocks	0.2027	1.73*
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0445	1.26
λ₃ tau persistence Long-term factor persistence	0.9555	23.65***

V-Lab

British American Tobacco Kenya Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other British American Tobacco Kenya Ltd Analyses