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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	26
α ARCH Response to squared shocks	0.7500
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.1895	342.69***
λ₂ forecast adj. Forecast performance sensitivity	0.9380	210.56***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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T Rowe Price Long Municipal Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T Rowe Price Long Municipal Income ETF Analyses