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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	0.0614	8.43***
α ARCH Response to squared shocks	0.2322	4.76***
β GARCH Volatility persistence	0.5016	11.60***
ν DF Student-t tail thickness	3.7565	3.28***

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