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V-Lab

UBS (CH) Property Fund - Swiss Residential Siat Asymmetric ILLIQ Liquidity Analysis

Suspended

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

1 Day

3,699.60

1 Week

3,608.51

1 Month

4,127.38

Analysis last updated: Monday, November 22, 2021 at 08:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of UBS (CH) Property Fund - Swiss Residential Siat ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Mar 28, 1994 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
5.72***
α

ARCH

Response to squared shocks

0.1022
16.16***
β

GARCH

Volatility persistence

0.9129
367.64***
γ

leverage

Additional response to negative shocks

-0.0301
-3.84***

Persistence:

1.000

Half-life:

-