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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	81
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.2837	136.18***
γ leverage Additional response to negative shocks	0.2511	16.98***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0253	0.82
λ₃ tau persistence Long-term factor persistence	0.9390	32.89***

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21Shares Solana ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other 21Shares Solana ETF Analyses