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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8636	126.33***
γ leverage Additional response to negative shocks	0.1438	20.36***
λ₁ tau intercept Baseline long-term coefficient	1.9109	2.08**
λ₂ forecast adj. Forecast performance sensitivity	0.1030	2.48**
λ₃ tau persistence Long-term factor persistence	0.5937	3.26***

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Bitwise Bitcoin ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitwise Bitcoin ETF Analyses