V-Lab
UBS (CH) Property Fund - Swiss Commercial Interswiss Spline ILLIQ Liquidity Analysis
Suspended
Last recorded values (Tuesday, November 23rd, 2021):
1 Day
7,626.72
1 Week
6,841.29
1 Month
8,079.71
Analysis last updated: Wednesday, September 2, 2026 at 04:02 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 23, 1990 to Nov 22, 2021Model 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 9 trading days.
μ
ILLIQ-SMEM Model
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Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3153 | 2.84*** |
| αARCH | 0.1049 | 7.95*** |
| βGARCH | 0.8229 | 38.15*** |
Spline Coefficients
K=10
| γ1 | -0.0294 | -0.23 |
| γ2 | -0.1651 | -0.91 |
| γ3 | 0.4298 | 4.37*** |
| γ4 | -0.4940 | -7.00*** |
| γ5 | 0.3934 | 6.03*** |
| γ6 | -0.2012 | -3.31*** |
| γ7 | 0.1489 | 2.71*** |
| γ8 | -0.1480 | -2.58*** |
| γ9 | 0.1105 | 1.83* |
| γ10 | -0.0488 | -0.74 |
0.928
Persistence9d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3153 | 2.84*** |
α ARCH Response to squared shocks | 0.1049 | 7.95*** |
β GARCH Volatility persistence | 0.8229 | 38.15*** |
Spline Coefficients
K=10
| γ1 | -0.0294 | -0.23 |
| γ2 | -0.1651 | -0.91 |
| γ3 | 0.4298 | 4.37*** |
| γ4 | -0.4940 | -7.00*** |
| γ5 | 0.3934 | 6.03*** |
| γ6 | -0.2012 | -3.31*** |
| γ7 | 0.1489 | 2.71*** |
| γ8 | -0.1480 | -2.58*** |
| γ9 | 0.1105 | 1.83* |
| γ10 | -0.0488 | -0.74 |
Persistence:
0.928
Half-life:
9 days
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