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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	0.1471	11.22***
β GARCH Volatility persistence	0.5287	13.72***
γ leverage Additional response to negative shocks	-0.0789	-5.90***
λ₁ tau intercept Baseline long-term coefficient	2.3006	1.22
λ₂ forecast adj. Forecast performance sensitivity	0.9124	4.60***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Dogecoin to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dogecoin to US Dollar Analyses