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UBS (CH) Property Fund - Swiss Commercial Interswiss Asymmetric ILLIQ Liquidity Analysis

Suspended

Last recorded values (Tuesday, November 23rd, 2021):

1 Day

6,931.29

1 Week

7,024.44

1 Month

7,655.28

Analysis last updated: Monday, November 22, 2021 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of UBS (CH) Property Fund - Swiss Commercial Interswiss ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Apr 23, 1990 to Nov 19, 2021

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
2.71***
α

ARCH

Response to squared shocks

0.0374
13.85***
β

GARCH

Volatility persistence

0.9745
820.25***
γ

leverage

Additional response to negative shocks

-0.0237
-6.10***

Persistence:

1.000

Half-life:

-