How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1080	2.07**
β GARCH Volatility persistence	0.8580	163.06***
γ leverage Additional response to negative shocks	-0.1080	-1.02
λ₁ tau intercept Baseline long-term coefficient	0.3527	5.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0031	3.29***
λ₃ tau persistence Long-term factor persistence	0.9964	451.08***

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other UBS CH Property Fund - Swiss Mixed Sima Analyses