How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.3327	0.21
β GARCH Volatility persistence	0.8286	62.91***
γ leverage Additional response to negative shocks	-0.3327	-0.13
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.25
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.17
λ₃ tau persistence Long-term factor persistence	0.6542	5.05***

V-Lab

Tetragon Financial Group Ltd/Fund ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tetragon Financial Group Ltd/Fund Analyses