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	121
α ARCH Response to squared shocks	0.3404	0.18
β GARCH Volatility persistence	0.8298	76.94***
γ leverage Additional response to negative shocks	-0.3403	-0.10
λ₁ tau intercept Baseline long-term coefficient	0.0007	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.11
λ₃ tau persistence Long-term factor persistence	0.2086	1.05

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