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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	71
α ARCH Response to squared shocks	0.0359	5.42***
β GARCH Volatility persistence	0.3520	16.92***
γ leverage Additional response to negative shocks	0.4924	20.89***
λ₁ tau intercept Baseline long-term coefficient	0.0267	2.04**
λ₂ forecast adj. Forecast performance sensitivity	0.3620	9.17***
λ₃ tau persistence Long-term factor persistence	0.6380	12.19***

V-Lab

Putnam BDC Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Putnam BDC Income ETF Analyses