How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.02**
α ARCH Response to squared shocks	0.0193	5.28***
β GARCH Volatility persistence	0.9730	533.46***
γ leverage Additional response to negative shocks	0.0116	1.44

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UBS CH Property Fund - Swiss Mixed Sima Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other UBS CH Property Fund - Swiss Mixed Sima Analyses