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	2.8158	5.51***
α ARCH Response to squared shocks	0.0732	5.03***
β GARCH Volatility persistence	0.7719	13.14***

γ₁	0.1554	5.06***
γ₂	-0.3120	-6.60***
γ₃	0.2807	5.36***
γ₄	-0.1570	-2.87***
γ₅	0.0520	1.13
γ₆	-0.0642	-1.62
γ₇	-0.0404	-0.84

V-Lab

British American Tobacco Kenya Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other British American Tobacco Kenya Ltd Analyses