UBS CH Property Fund - Swiss Mixed Sima Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
1,596.25
increased by 0.62
1 Week
1,567.39
decreased by 28.24
1 Month
1,614.72
increased by 19.09
Analysis last updated: Tuesday, July 14, 2026 at 08:35 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 23, 1990 to Jul 10, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 366 trading days (~1.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.02** |
α ARCH Response to squared shocks | 0.0192 | 5.27*** |
β GARCH Volatility persistence | 0.9731 | 533.49*** |
γ leverage Additional response to negative shocks | 0.0116 | 1.45 |
Persistence:
0.998
Half-life:
366 days
Other UBS CH Property Fund - Swiss Mixed Sima Analyses
Other Asymmetric ILLIQ Analyses on Closed-end Funds