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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	0.4529	3.78***
α ARCH Response to squared shocks	0.1192	2.58***
β GARCH Volatility persistence	0.8428	17.25***

γ₁	0.0487	0.96
γ₂	0.0188	0.24
γ₃	-0.1380	-2.83***

V-Lab

Trinseo PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trinseo PLC Analyses