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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	36
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8276	82.07***
γ leverage Additional response to negative shocks	0.2028	17.25***
λ₁ tau intercept Baseline long-term coefficient	0.0581	0.76
λ₂ forecast adj. Forecast performance sensitivity	0.6995	0.67
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

BondBloxx CCC-Rated USD High Yield Corporate Bond ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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