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	1.7464	2.11**
αARCH	0.2249	6.04***
βGARCH	0.7687	20.19***

γ₁	-1.5533	-5.00***
γ₂	2.5228	4.82***
γ₃	-1.3324	-3.71***
γ₄	0.5033	2.17**
γ₅	-0.2205	-0.65
γ₆	0.3747	1.06
γ₇	-0.3722	-0.76
γ₈	-3.3312	-1.73*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7464	2.11**
α ARCH Response to squared shocks	0.2249	6.04***
β GARCH Volatility persistence	0.7687	20.19***

γ₁	-1.5533	-5.00***
γ₂	2.5228	4.82***
γ₃	-1.3324	-3.71***
γ₄	0.5033	2.17**
γ₅	-0.2205	-0.65
γ₆	0.3747	1.06
γ₇	-0.3722	-0.76
γ₈	-3.3312	-1.73*

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