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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.2326	14.68***
β GARCH Volatility persistence	0.5497	16.11***
γ leverage Additional response to negative shocks	-0.0748	-3.11***
λ₁ tau intercept Baseline long-term coefficient	0.4874	0.95
λ₂ forecast adj. Forecast performance sensitivity	0.2019	2.17**
λ₃ tau persistence Long-term factor persistence	0.7930	7.59***

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