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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	16.7953	6.81***
α ARCH Response to squared shocks	0.1641	3.24***
β GARCH Volatility persistence	0.5413	11.97***
ν DF Student-t tail thickness	4.0905	1.44

V-Lab

Franklin XRP ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin XRP ETF Analyses