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Malayan Cement BHD Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Wednesday, August 26th, 2026

1 Day

2,801.45

decreased by 435.32

1 Week

3,301.52

increased by 64.75

1 Month

2,683.23

decreased by 553.54

Analysis last updated: Tuesday, August 25, 2026 at 08:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Malayan Cement BHD ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jun 24, 1994 to Aug 24, 2026

Model Insight

With persistence 0.996, illiquidity shocks have a half-life of 183 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.9772
3.54***
α

ARCH

Response to squared shocks

0.2232
14.29***
β

GARCH

Volatility persistence

0.7731
51.74***
γi Spline Coefficients
K=4
γ10.0338
1.72*
γ2-0.0374
-1.30
γ30.0315
1.32
γ4-0.1579
-4.66***

Persistence:

0.996

Half-life:

183 days