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	1.3600	4.70***
α ARCH Response to squared shocks	0.1272	9.65***
β GARCH Volatility persistence	0.8218	31.94***

γ₁	-0.0141	-3.95***
γ₂	0.0210	4.48***
γ₃	-0.0094	-3.13***

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other UBS CH Property Fund - Swiss Mixed Sima Analyses