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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	31
α ARCH Response to squared shocks	0.0665	9.87***
β GARCH Volatility persistence	0.7130	51.73***
γ leverage Additional response to negative shocks	0.1074	9.62***
λ₁ tau intercept Baseline long-term coefficient	0.0406	1.07
λ₂ forecast adj. Forecast performance sensitivity	0.0162	2.24**
λ₃ tau persistence Long-term factor persistence	0.9813	120.08***

V-Lab

Ethereum to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ethereum to US Dollar Analyses