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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	0.5000	108.08***
β GARCH Volatility persistence	0.1861	49.32***
γ leverage Additional response to negative shocks	-0.5000	-111.93***
λ₁ tau intercept Baseline long-term coefficient	1.3577	3.77***
λ₂ forecast adj. Forecast performance sensitivity	0.4095	7.47***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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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