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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	0.0004	6.79***
α ARCH Response to squared shocks	0.0241	3.99***
β GARCH Volatility persistence	0.9261	112.84***
γ leverage Additional response to negative shocks	0.0529	3.04***

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Jpmorgan Limited Dura BO ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan Limited Dura BO ETF Analyses