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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	46
α ARCH Response to squared shocks	0.5029	44.51***
β GARCH Volatility persistence	0.0000	0.12
γ leverage Additional response to negative shocks	-0.5000	-44.73***
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0480	60.73***
λ₃ tau persistence Long-term factor persistence	0.0000	0.67

V-Lab

BNY Mellon Active Core Bond ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BNY Mellon Active Core Bond ETF Analyses