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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	71
α ARCH Response to squared shocks	0.0394	5.09***
β GARCH Volatility persistence	0.7679	57.12***
γ leverage Additional response to negative shocks	0.1285	14.13***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0060	1.14
λ₃ tau persistence Long-term factor persistence	0.9931	59.71***

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Solana to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Solana to US Dollar Analyses