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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4653	4.60***
α ARCH Response to squared shocks	0.1166	2.60***
β GARCH Volatility persistence	0.8382	16.66***

γ₁	0.0494	1.07
γ₂	0.0139	0.19
γ₃	-0.1313	-2.99***

V-Lab

Trinseo PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trinseo PLC Analyses