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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	0.0641	6.68***
α ARCH Response to squared shocks	0.0343	3.01***
β GARCH Volatility persistence	0.8806	93.52***
γ leverage Additional response to negative shocks	0.1105	4.01***

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Jpmorgan Actv DVP MRS EQ ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan Actv DVP MRS EQ ETF Analyses