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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	0.1624	2.28**
α ARCH Response to squared shocks	0.0552	1.16
β GARCH Volatility persistence	0.6100	7.41***
ν DF Student-t tail thickness	2.9617	0.53

V-Lab

Jpmorgan US Bond Active ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan US Bond Active ETF Analyses