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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Apr 23, 1990 to Nov 22, 2021

Model 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

Tap to view equation

Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst0.3153
2.84***
αARCH0.1049
7.95***
βGARCH0.8229
38.15***
γi Spline Coefficients
K=10
γ1-0.0294
-0.23
γ2-0.1651
-0.91
γ30.4298
4.37***
γ4-0.4940
-7.00***
γ50.3934
6.03***
γ6-0.2012
-3.31***
γ70.1489
2.71***
γ8-0.1480
-2.58***
γ90.1105
1.83*
γ10-0.0488
-0.74

0.928

Persistence

9d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-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***
γi Spline Coefficients
K=10
γ1-0.0294
-0.23
γ2-0.1651
-0.91
γ30.4298
4.37***
γ4-0.4940
-7.00***
γ50.3934
6.03***
γ6-0.2012
-3.31***
γ70.1489
2.71***
γ8-0.1480
-2.58***
γ90.1105
1.83*
γ10-0.0488
-0.74

Persistence:

0.928

Half-life:

9 days