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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	0.0748	26.21***
β GARCH Volatility persistence	0.9455	553.88***
γ leverage Additional response to negative shocks	-0.0405	-8.56***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.2776	26.76***
λ₃ tau persistence Long-term factor persistence	0.0062	9.08***

V-Lab

Columbia Corporate Bond ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Columbia Corporate Bond ETF Analyses