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	1.1551	1.94*
αARCH	0.2077	5.44***
βGARCH	0.7765	20.84***

γ₁	-1.5225	-5.29***
γ₂	2.4625	5.10***
γ₃	-1.2740	-3.86***
γ₄	0.4501	1.97**
γ₅	-0.1740	-0.52
γ₆	0.3195	0.92
γ₇	-0.2706	-0.54
γ₈	-3.2547	-1.90*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1551	1.94*
α ARCH Response to squared shocks	0.2077	5.44***
β GARCH Volatility persistence	0.7765	20.84***

γ₁	-1.5225	-5.29***
γ₂	2.4625	5.10***
γ₃	-1.2740	-3.86***
γ₄	0.4501	1.97**
γ₅	-0.1740	-0.52
γ₆	0.3195	0.92
γ₇	-0.2706	-0.54
γ₈	-3.2547	-1.90*

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