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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	0.2003	14.10***
β GARCH Volatility persistence	0.5998	36.52***
γ leverage Additional response to negative shocks	0.0168	0.76
λ₁ tau intercept Baseline long-term coefficient	0.0452	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.0130	1.59
λ₃ tau persistence Long-term factor persistence	0.9767	66.29***

V-Lab

Tate & Lyle Plc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses