基于广义误差分布-garch模型的动态流动性风险计算与实证研究

2013 International Conference on Management Science and Engineering 20th Annual Conference Proceedings Pub Date : 2013-07-17 DOI:10.1109/ICMSE.2013.6586509

Fu Shu-huan, Cao Jia-he

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引用次数: 0

摘要

传统的VaR忽略了流动性风险的存在，假设交易是无摩擦的。对流动性风险的研究大多是静态的。本文从时变的角度出发，在考虑内生和外生流动性风险的改进买卖价差模型的基础上，提出了动态流动性风险的概念。运用GED-GARCH模型对动态流动性风险进行测度，实证研究表明，该方法能够准确测度动态流动性风险。

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

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.

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2013 International Conference on Management Science and Engineering 20th Annual Conference Proceedings

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