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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	0.0351	4.82***
α ARCH Response to squared shocks	0.0716	9.24***
β GARCH Volatility persistence	0.8787	81.00***
γ leverage Additional response to negative shocks	1.0000	1,398.59***
δ power Transformation power	0.5000	5.31***

V-Lab

Jpmorgan Active High YLD ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan Active High YLD ETF Analyses