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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	0.1315	13.87***
β GARCH Volatility persistence	0.7776	110.41***
γ leverage Additional response to negative shocks	0.1013	10.92***
λ₁ tau intercept Baseline long-term coefficient	0.0251	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.9987	20.43***
λ₃ tau persistence Long-term factor persistence	0.0013	0.81

V-Lab

Binancecoin to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Binancecoin to US Dollar Analyses