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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0506	6.80***
α ARCH Response to squared shocks	0.2151	2.15**
β GARCH Volatility persistence	0.3895	4.12***
ν DF Student-t tail thickness	5.2199	0.97

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Franklin Ohio Municipal Income ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin Ohio Municipal Income ETF Analyses