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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	21
α ARCH Response to squared shocks	0.5000	53.34***
β GARCH Volatility persistence	0.7497	272.03***
γ leverage Additional response to negative shocks	-0.5000	-37.57***
λ₁ tau intercept Baseline long-term coefficient	4.5025	2.47**
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9173	17.53***

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