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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1092	14.92***
α ARCH Response to squared shocks	0.5964	1.95*
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5964	-1.95*

V-Lab

Jpmorgan US Bond Active ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan US Bond Active ETF Analyses