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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	0.7267	3.02***
α ARCH Response to squared shocks	0.1745	1.45
β GARCH Volatility persistence	0.3048	0.75

γ₁	38.7352	1.56
γ₂	-73.9731	-1.88*
γ₃	47.5353	2.01**

V-Lab

T Rowe Price Long Municipal Income ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T Rowe Price Long Municipal Income ETF Analyses