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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	26
α ARCH Response to squared shocks	0.1692
β GARCH Volatility persistence	0.0009
γ leverage Additional response to negative shocks	-0.1406
λ₁ tau intercept Baseline long-term coefficient	9.9959
λ₂ forecast adj. Forecast performance sensitivity	0.9971
λ₃ tau persistence Long-term factor persistence	0.0029	219.38***

V-Lab

Grayscale Avalanche Staking ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grayscale Avalanche Staking ETF Analyses