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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	31
α ARCH Response to squared shocks	0.2420	14.59***
β GARCH Volatility persistence	0.5440	15.94***
γ leverage Additional response to negative shocks	-0.0796	-3.22***
λ₁ tau intercept Baseline long-term coefficient	0.4860	0.98
λ₂ forecast adj. Forecast performance sensitivity	0.1971	2.22**
λ₃ tau persistence Long-term factor persistence	0.7983	8.04***

V-Lab

Cardano to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cardano to US Dollar Analyses