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British American Tobacco Kenya Ltd Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, September 7th, 2026

1 Day

1,832.18

increased by 202.92

1 Week

1,478.02

decreased by 151.24

1 Month

1,298.75

decreased by 330.51

Analysis last updated: Sunday, September 6, 2026 at 12:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of British American Tobacco Kenya Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jan 14, 1991 to Sep 4, 2026

Model Insight

This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 4 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst2.8041
5.49***
αARCH0.0736
5.05***
βGARCH0.7717
13.22***
γi Spline Coefficients
K=7
γ10.1519
4.97***
γ2-0.3065
-6.59***
γ30.2784
5.42***
γ4-0.1571
-2.92***
γ50.0526
1.15
γ6-0.0666
-1.69*
γ7-0.0341
-0.71

0.845

Persistence

4d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.8041
5.49***
α

ARCH

Response to squared shocks

0.0736
5.05***
β

GARCH

Volatility persistence

0.7717
13.22***
γi Spline Coefficients
K=7
γ10.1519
4.97***
γ2-0.3065
-6.59***
γ30.2784
5.42***
γ4-0.1571
-2.92***
γ50.0526
1.15
γ6-0.0666
-1.69*
γ7-0.0341
-0.71

Persistence:

0.845

Half-life:

4 days