How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1154	0.52
β GARCH Volatility persistence	0.7785	45.19***
γ leverage Additional response to negative shocks	-0.1154	-0.26
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.48**
λ₂ forecast adj. Forecast performance sensitivity	0.0441	2.47**
λ₃ tau persistence Long-term factor persistence	0.9519	13.05***

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UBS (CH) Property Fund - Direct LivingPlus ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other UBS (CH) Property Fund - Direct LivingPlus Analyses