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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	21
α ARCH Response to squared shocks	0.1548	25.61***
β GARCH Volatility persistence	0.6129	34.66***
γ leverage Additional response to negative shocks	0.0801	7.50***
λ₁ tau intercept Baseline long-term coefficient	0.2399	3.15***
λ₂ forecast adj. Forecast performance sensitivity	0.0555	3.48***
λ₃ tau persistence Long-term factor persistence	0.9313	48.11***

V-Lab

Bitcoin to Euro MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin to Euro Analyses