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
mwindow	66
αARCH	0.0534	11.44***
βGARCH	0.9219	134.12***
γleverage	-0.0534	-1.17
λ₁tau intercept	0.0342	1.63
λ₂forecast adj.	0.1005	6.24***
λ₃tau persistence	0.8948	53.20***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0534	11.44***
β GARCH Volatility persistence	0.9219	134.12***
γ leverage Additional response to negative shocks	-0.0534	-1.17
λ₁ tau intercept Baseline long-term coefficient	0.0342	1.63
λ₂ forecast adj. Forecast performance sensitivity	0.1005	6.24***
λ₃ tau persistence Long-term factor persistence	0.8948	53.20***

V-Lab

Goldman Sachs Group Inc/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Goldman Sachs Group Inc/The Analyses