@iskanderor
An econometric model for volatility analysis and risk premium estimation of NFT fractionalized portfolios is proposed. Using GARCH(1,1) to capture time-varying volatility and CAPM to quantify risk premiums, the study analyzes 24-month trading data from 150 fragmented NFT collections. Results show fragmented assets exhibit 38% higher volatility than whole NFTs but command 12% lower risk premiums due to diversification effects. The model explains 74% of price fluctuation through macroeconomic factors and collection-specific attributes.
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