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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	3.42***
α ARCH Response to squared shocks	0.2603	6.07***
β GARCH Volatility persistence	0.5036	7.78***
γ leverage Additional response to negative shocks	0.4022	2.94***
δ power Transformation power	0.8612	4.77***

V-Lab

Franklin XRP ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin XRP ETF Analyses