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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0346	16.07***
β GARCH Volatility persistence	0.8717	227.78***
γ leverage Additional response to negative shocks	0.1002	26.84***
λ₁ tau intercept Baseline long-term coefficient	0.0085	8.25***
λ₂ forecast adj. Forecast performance sensitivity	0.0213	4.65***
λ₃ tau persistence Long-term factor persistence	0.9763	192.99***

V-Lab

Bank of America Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bank of America Corp Analyses