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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 28, 1994 to Nov 19, 2021Model 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
| Parameter | Value | t-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:
-
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