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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	0.0010	3.85***
α ARCH Response to squared shocks	0.0231	2.03**
β GARCH Volatility persistence	0.9415	104.51***
γ leverage Additional response to negative shocks	0.0410	2.02**

V-Lab

Schwab Core Bond ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Schwab Core Bond ETF Analyses