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Fig. 4 | Financial Innovation

Fig. 4

From: Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

Fig. 4

Innovation in aggregate liquidity (i_gamma) and conditional variance of i_gamma, 1988Q1-2016Q2. Notes: These plots reproduce the innovation in aggregate illiquidity (i_gamma), as published by Pástor and Stambaugh (2003), and its conditional variance. The conditional variance is computed using the EGARCH method in order to account for the asymmetries in the behavior of i_gamma dependent of the phase of the business cycle. Shaded areas correspond to periods of crises

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