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	0.0729	0.84
β GARCH Volatility persistence	0.7824	18.12***
γ leverage Additional response to negative shocks	0.2056	1.77*
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0458	1.28
λ₃ tau persistence Long-term factor persistence	0.9542	22.54***

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