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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0465	10.36***
β GARCH Volatility persistence	0.6557	91.48***
γ leverage Additional response to negative shocks	0.5000	41.99***
λ₁ tau intercept Baseline long-term coefficient	0.0004	1.11
λ₂ forecast adj. Forecast performance sensitivity	0.0049	3.53***
λ₃ tau persistence Long-term factor persistence	0.9912	224.52***

V-Lab

Ishares Investment Grade Corporate Bond Buywrite Strategy ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Investment Grade Corporate Bond Buywrite Strategy ETF Analyses