How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.7715	2.17**
αARCH	0.2144	6.01***
βGARCH	0.7797	21.45***

γ₁	-1.5524	-4.90***
γ₂	2.5232	4.73***
γ₃	-1.3377	-3.64***
γ₄	0.5116	2.19**
γ₅	-0.2321	-0.69
γ₆	0.3990	1.14
γ₇	-0.4200	-0.87
γ₈	-3.2884	-1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7715	2.17**
α ARCH Response to squared shocks	0.2144	6.01***
β GARCH Volatility persistence	0.7797	21.45***

γ₁	-1.5524	-4.90***
γ₂	2.5232	4.73***
γ₃	-1.3377	-3.64***
γ₄	0.5116	2.19**
γ₅	-0.2321	-0.69
γ₆	0.3990	1.14
γ₇	-0.4200	-0.87
γ₈	-3.2884	-1.66*

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