CFC Stanbic Holdings Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
3,309.24
decreased by 123.49
1 Week
3,428.03
decreased by 4.70
1 Month
3,369.55
decreased by 63.18
Analysis last updated: Wednesday, July 15, 2026 at 08:10 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 25, 1991 to Jul 10, 2026Model 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7431 | 4.11*** |
α ARCH Response to squared shocks | 0.0456 | 7.45*** |
β GARCH Volatility persistence | 0.9488 | 122.65*** |
Spline Coefficients
K=4
| γ1 | -0.0667 | -1.81* |
| γ2 | 0.0932 | 1.66* |
| γ3 | 0.0293 | 0.63 |
| γ4 | -0.2568 | -4.11*** |
Persistence:
0.994
Half-life:
124 days
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