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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	0.0469	13.19***
α ARCH Response to squared shocks	0.2509	5.69***
β GARCH Volatility persistence	0.5253	18.01***
ν DF Student-t tail thickness	5.4046	2.47**

V-Lab

Neuberger Flexible Credit Income ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Neuberger Flexible Credit Income ETF Analyses