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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	1.0000	268.45***
β GARCH Volatility persistence	0.0000	0.02
γ leverage Additional response to negative shocks	-0.5000	-33.69***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.5199	0.39
λ₃ tau persistence Long-term factor persistence	0.4801	0.34

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Bitwise XRP ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitwise XRP ETF Analyses