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V-Lab

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

Suspended

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

1 Day

3,901.38

1 Week

3,357.61

1 Month

3,941.72

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-SMEM

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

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 8 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.8411
5.62***
α

ARCH

Response to squared shocks

0.1439
9.14***
β

GARCH

Volatility persistence

0.7759
26.76***
γi Spline Coefficients
K=5
γ10.2067
8.17***
γ2-0.3124
-8.75***
γ30.1298
7.88***
γ4-0.0298
-2.45**
γ50.0092
0.55

Persistence:

0.920

Half-life:

8 days