V-Lab
Trinseo PLC GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, August 14th, 2026
1 Day
841.44%
1 Week
841.46%
1 Month
841.52%
Analysis last updated: Friday, August 14, 2026 at 09:10 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 12, 2014 to Jul 31, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 141% more than positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0515 | 3.44*** |
α ARCH Response to squared shocks | 0.0252 | 8.62*** |
β GARCH Volatility persistence | 0.9571 | 236.19*** |
γ leverage Additional response to negative shocks | 0.0356 | 5.30*** |
Persistence:
1.000
Half-life:
-
Other GJR-GARCH Analyses on Equities