How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.8396	5.64***
αARCH	0.1439	9.15***
βGARCH	0.7757	26.73***

γ₁	0.2061	8.18***
γ₂	-0.3117	-8.76***
γ₃	0.1299	7.89***
γ₄	-0.0304	-2.51**
γ₅	0.0109	0.65

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8396	5.64***
α ARCH Response to squared shocks	0.1439	9.15***
β GARCH Volatility persistence	0.7757	26.73***

γ₁	0.2061	8.18***
γ₂	-0.3117	-8.76***
γ₃	0.1299	7.89***
γ₄	-0.0304	-2.51**
γ₅	0.0109	0.65

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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