is considered, where W is a standard Wiener process, $\alpha >-\frac{1}{2}$, $\gamma >-1$, and $\alpha +\beta +\gamma >-\frac{3}{2}$. It is proved that the process X is well-defined and continuous. The asymptotic properties of the variances and bounds for the variances of the increments of the process X are studied. It is also proved that the process X satisfies the single-point Hölder condition up to order $\alpha +\beta +\gamma +\frac{3}{2}$ at point 0, the “interval” Hölder condition up to order $\min \big(\gamma +\frac{3}{2},\hspace{0.2222em}1\big)$ on the interval $[{t_{0}},T]$ (where $0<{t_{0}}<T$), and the Hölder condition up to order $\min \big(\alpha +\beta +\gamma +\frac{3}{2},\hspace{0.2778em}\gamma +\frac{3}{2},\hspace{0.2778em}1\big)$ on the entire interval $[0,T]$.