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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 28, 1994 to Nov 19, 2021Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=5
| γ1 | 0.2067 | 8.17*** |
| γ2 | -0.3124 | -8.75*** |
| γ3 | 0.1298 | 7.88*** |
| γ4 | -0.0298 | -2.45** |
| γ5 | 0.0092 | 0.55 |
Persistence:
0.920
Half-life:
8 days
Other UBS (CH) Property Fund - Swiss Residential Siat Analyses
Other Spline ILLIQ Analyses on Closed-end Funds