How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7464	1.71*
α ARCH Response to squared shocks	0.2424	5.68***
β GARCH Volatility persistence	0.7402	17.98***

γ₁	-1.7789	-5.45***
γ₂	2.5298	4.94***
γ₃	-0.6361	-1.38
γ₄	-0.4579	-0.78
γ₅	0.6698	1.15
γ₆	-0.4761	-1.06
γ₇	0.4648	1.04
γ₈	-0.4512	-0.78
γ₉	-4.2613	-1.62

V-Lab

Tetragon Financial Group Ltd/Fund Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tetragon Financial Group Ltd/Fund Analyses