Calculation and empirical study of dynamic liquidity risk based on the generalized error distribution (ged)-garch model

Author

Fu Shu-huan ; Cao Jia-he

Author_Institution

Bus. Sch., Hohai Univ., Nanjing, China

fYear

2013

fDate

17-19 July 2013

Firstpage

1792

Lastpage

1797

Abstract

The traditional VaR ignores the existence of liquidity risk, with assuming trade is frictionless. The studies of the liquidity risk are mostly static. From the view of time-varying point, this paper put forward the concept of dynamic liquidity risk, based on the improved bid-ask spread model for taking into account the endogenous and exogenous liquidity risk. The dynamic liquidity risk was carried out by the GED-GARCH model, and the empirical study show that the method can accurately measure the dynamic liquidity risk.

Keywords

autoregressive processes; financial management; risk management; GED-GARCH Model; VaR; bid-ask spread model; dynamic liquidity risk concept; endogenous liquidity risk; exogenous liquidity risk; generalized autoregressive processes with conditional heteroskedastic model; generalized error distribution; value-at-risk; Equations; Estimation; Gaussian distribution; Mathematical model; Reactive power; Security; Stock markets; GARCH model; bid-ask spread model; dynamic liquidity risk; generalized error distribution (GED);

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering (ICMSE), 2013 International Conference on

Conference_Location

Harbin

ISSN

2155-1847

Print_ISBN

978-1-4799-0473-0

Type

conf

DOI

10.1109/ICMSE.2013.6586509

Filename

6586509