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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1962	13.61***
β GARCH Volatility persistence	0.6074	36.50***
γ leverage Additional response to negative shocks	0.0148	0.66
λ₁ tau intercept Baseline long-term coefficient	2.8515	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.3304	0.17
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Tate & Lyle Plc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses