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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
m window Rolling window length	106
α ARCH Response to squared shocks	0.1627	8.47***
β GARCH Volatility persistence	0.2993	64.96***
γ leverage Additional response to negative shocks	-0.1627	-8.60***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0132	0.65
λ₃ tau persistence Long-term factor persistence	0.9549	19.28***

V-Lab

Jpmorgan US Bond Active ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan US Bond Active ETF Analyses