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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	0.9243	1,770.60***
γ leverage Additional response to negative shocks	0.1515	321.60***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.2844	12.52***
λ₃ tau persistence Long-term factor persistence	0.0041	0.05

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Franklin XRP ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin XRP ETF Analyses