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	2.8048	5.50***
α ARCH Response to squared shocks	0.0732	5.04***
β GARCH Volatility persistence	0.7719	13.18***

γ₁	0.1527	4.99***
γ₂	-0.3077	-6.59***
γ₃	0.2789	5.41***
γ₄	-0.1569	-2.91***
γ₅	0.0520	1.14
γ₆	-0.0649	-1.64
γ₇	-0.0401	-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