Java Database Connectivity (JDBC)

I'm attempting a connection to HSQLDB, but have some questions about making the connection without an existing database.

In the connection URL, the last part is supposed to be a URL to a database, but nothing currently exists. Additionally, the username and password both do not exist yet because the database doesn't.

Must a database be created in advance of connecting to it? (I would guess no because then how would in-memory databases work?) If not, what should I enter in the username, password, and connection URL to make this work?

Thanks.