How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.7525	2.95***
αARCH	0.0797	1.94*
βGARCH	0.8877	41.27***
γleverage	0.0652	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7525	2.95***
α ARCH Response to squared shocks	0.0797	1.94*
β GARCH Volatility persistence	0.8877	41.27***
γ leverage Additional response to negative shocks	0.0652	1.54

V-Lab

Bank of New York Mellon Corp/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bank of New York Mellon Corp/The Analyses