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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	0.0139	4.31***
α ARCH Response to squared shocks	0.0450	8.39***
β GARCH Volatility persistence	0.9706	103.43***
ν DF Student-t tail thickness	6.6522	1.09

V-Lab

Jpmorgan Limited Dura BO ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan Limited Dura BO ETF Analyses