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	1.7963	2.19**
αARCH	0.2136	6.03***
βGARCH	0.7807	21.64***

γ₁	-1.5497	-4.88***
γ₂	2.5224	4.70***
γ₃	-1.3444	-3.63***
γ₄	0.5220	2.24**
γ₅	-0.2428	-0.73
γ₆	0.4130	1.20
γ₇	-0.4484	-0.95
γ₈	-3.3441	-1.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7963	2.19**
α ARCH Response to squared shocks	0.2136	6.03***
β GARCH Volatility persistence	0.7807	21.64***

γ₁	-1.5497	-4.88***
γ₂	2.5224	4.70***
γ₃	-1.3444	-3.63***
γ₄	0.5220	2.24**
γ₅	-0.2428	-0.73
γ₆	0.4130	1.20
γ₇	-0.4484	-0.95
γ₈	-3.3441	-1.63

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