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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	0.9109	7.36***
α ARCH Response to squared shocks	0.0967	29.10***
β GARCH Volatility persistence	0.9967	1,839.01***
ν DF Student-t tail thickness	5.8070	6.09***

V-Lab

BondBloxx CCC-Rated USD High Yield Corporate Bond ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BondBloxx CCC-Rated USD High Yield Corporate Bond ETF Analyses