V-Lab
Malayan Cement BHD Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Friday, August 7th, 2026
1 Day
3,042.20
increased by 682.63
1 Week
2,299.36
decreased by 60.21
1 Month
2,203.82
decreased by 155.75
Analysis last updated: Friday, August 7, 2026 at 07:57 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 31, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 150 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.3061 | 3.06*** |
α ARCH Response to squared shocks | 0.2363 | 14.99*** |
β GARCH Volatility persistence | 0.7591 | 50.81*** |
Spline Coefficients
K=10
| γ1 | -0.1616 | -0.85 |
| γ2 | 0.4593 | 1.87* |
| γ3 | -0.6162 | -5.59*** |
| γ4 | 0.5653 | 5.28*** |
| γ5 | -0.4168 | -3.15*** |
| γ6 | 0.3472 | 1.80* |
| γ7 | -0.2753 | -1.02 |
| γ8 | 0.1777 | 0.65 |
| γ9 | -0.3652 | -1.74* |
| γ10 | 0.5660 | 3.06*** |
Persistence:
0.995
Half-life:
150 days
Other Malayan Cement BHD Analyses
Other Spline ILLIQ Analyses on International Equities