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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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0532	11.37***
β GARCH Volatility persistence	0.9215	132.96***
γ leverage Additional response to negative shocks	-0.0532	-1.15
λ₁ tau intercept Baseline long-term coefficient	0.0392	1.72*
λ₂ forecast adj. Forecast performance sensitivity	0.1038	6.37***
λ₃ tau persistence Long-term factor persistence	0.8911	52.18***

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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