UBS (CH) Property Fund - Direct LivingPlus Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
4,510.22
increased by 569.49
1 Week
4,301.60
increased by 360.87
1 Month
6,229.32
increased by 2,288.59
Analysis last updated: Tuesday, July 14, 2026 at 08:35 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 6, 2007 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 10 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9841 | 13.32*** |
α ARCH Response to squared shocks | 0.1126 | 10.08*** |
β GARCH Volatility persistence | 0.8226 | 41.09*** |
Spline Coefficients
K=1
| γ1 | 0.0043 | 3.53*** |
Persistence:
0.935
Half-life:
10 days
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