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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1529	24.90***
β GARCH Volatility persistence	0.6889	60.56***
γ leverage Additional response to negative shocks	0.0810	8.40***
λ₁ tau intercept Baseline long-term coefficient	0.0793	3.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0288	5.36***
λ₃ tau persistence Long-term factor persistence	0.9669	139.64***

V-Lab

Bitcoin to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin to US Dollar Analyses