V-Lab: Tetragon Financial Group Ltd/Fund Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Tetragon Financial Group Ltd/Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:23.17% (-0.37%)

Analysis last updated: Saturday, May 18, 2024 at 11:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2040	3.54
$α$	0.1509	7.22
$β$	0.7763	22.59
$γ_{1}$	-0.4860	-2.79
$γ_{2}$	0.7358	2.85
$γ_{3}$	-0.4145	-2.35
$γ_{4}$	0.3176	2.14
$γ_{5}$	-0.1492	-1.19
$γ_{6}$	-0.0494	-0.53
$γ_{7}$	0.0574	0.75

Estimation Period:
Apr 19, 2007 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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