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	1.0550	2.02**
α ARCH Response to squared shocks	0.2310	5.69***
β GARCH Volatility persistence	0.7470	19.97***

γ₁	-1.5259	-5.62***
γ₂	2.4644	5.42***
γ₃	-1.2692	-4.11***
γ₄	0.4440	2.03**
γ₅	-0.1616	-0.50
γ₆	0.2826	0.82
γ₇	-0.2030	-0.41
γ₈	-3.3355	-2.04**

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