V-Lab
British American Tobacco Kenya Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, September 22nd, 2026
1 Day
1,512.63
decreased by 168.84
1 Week
1,402.54
decreased by 278.93
1 Month
1,375.05
decreased by 306.42
Analysis last updated: Tuesday, September 22, 2026 at 08:00 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 14, 1991 to Sep 18, 2026Model 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
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.7955 | 5.47*** |
| αARCH | 0.0735 | 5.06*** |
| βGARCH | 0.7726 | 13.34*** |
Spline Coefficients
K=7
| γ1 | 0.1500 | 4.92*** |
| γ2 | -0.3037 | -6.58*** |
| γ3 | 0.2773 | 5.45*** |
| γ4 | -0.1572 | -2.94*** |
| γ5 | 0.0529 | 1.16 |
| γ6 | -0.0677 | -1.72* |
| γ7 | -0.0312 | -0.65 |
0.846
Persistence4d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.7955 | 5.47*** |
α ARCH Response to squared shocks | 0.0735 | 5.06*** |
β GARCH Volatility persistence | 0.7726 | 13.34*** |
Spline Coefficients
K=7
| γ1 | 0.1500 | 4.92*** |
| γ2 | -0.3037 | -6.58*** |
| γ3 | 0.2773 | 5.45*** |
| γ4 | -0.1572 | -2.94*** |
| γ5 | 0.0529 | 1.16 |
| γ6 | -0.0677 | -1.72* |
| γ7 | -0.0312 | -0.65 |
Persistence:
0.846
Half-life:
4 days
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