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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	41
α ARCH Response to squared shocks	0.0449	3.83***
β GARCH Volatility persistence	0.2309	5.20***
γ leverage Additional response to negative shocks	0.1794	3.84***
λ₁ tau intercept Baseline long-term coefficient	0.7243	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.6979	0.56
λ₃ tau persistence Long-term factor persistence	0.3021	0.22

V-Lab

Trinseo PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trinseo PLC Analyses