How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9833	13.45***
α ARCH Response to squared shocks	0.1132	10.14***
β GARCH Volatility persistence	0.8209	40.73***

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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