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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	0.1109	9.26***
α ARCH Response to squared shocks	0.3216	4.66***
β GARCH Volatility persistence	0.0000	0.00

V-Lab

Jpmorgan US Bond Active ETF GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan US Bond Active ETF Analyses