How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.3630	4.72***
αARCH	0.1263	9.66***
βGARCH	0.8228	32.29***

γ₁	-0.0139	-3.94***
γ₂	0.0207	4.48***
γ₃	-0.0093	-3.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3630	4.72***
α ARCH Response to squared shocks	0.1263	9.66***
β GARCH Volatility persistence	0.8228	32.29***

γ₁	-0.0139	-3.94***
γ₂	0.0207	4.48***
γ₃	-0.0093	-3.11***

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