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CFC Stanbic Holdings Ltd Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, July 27th, 2026

1 Day

3,164.91

decreased by 146.83

1 Week

3,458.32

increased by 146.58

1 Month

3,243.04

decreased by 68.70

Analysis last updated: Sunday, July 26, 2026 at 03:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CFC Stanbic Holdings Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Mar 25, 1991 to Jul 24, 2026

Model Insight

With persistence 0.994, illiquidity shocks have a half-life of 124 trading days (~0.5 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

1.7439
4.11***
α

ARCH

Response to squared shocks

0.0455
7.46***
β

GARCH

Volatility persistence

0.9489
122.71***
γi Spline Coefficients
K=4
γ1-0.0665
-1.81*
γ20.0932
1.67*
γ30.0286
0.62
γ4-0.2584
-4.14***

Persistence:

0.994

Half-life:

124 days