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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9122	6.94***
α ARCH Response to squared shocks	0.2002	5.45***
β GARCH Volatility persistence	0.5123	6.63***

γ₁	-0.2538	-1.21
γ₂	0.6136	1.87*
γ₃	-0.5899	-2.04**
γ₄	0.1000	0.33
γ₅	0.3183	1.30
γ₆	-0.2358	-1.01
γ₇	0.1325	0.49
γ₈	-0.3606	-1.07
γ₉	0.6846	2.02**
γ₁₀	-0.6186	-2.90***

V-Lab

Tate & Lyle Plc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses