Measurement to stock market liquidity risk based on GARCH-VaR model

Abstract

Abstract: Based on investigation to liquidity risk before, this paper focuses more on the heterogeneity of stock market. Firstly, it does MODWT to the liquidity scale data, then calculates VaR of each scale using GARCH-VaR model, finally tests the effectiveness of the model. The paper proves risk capacity varies with capital scale, and the various risk pressure long-term and short-term investors face.

Key words: liquidity risk, market neterogeny, multiscale

摘要： 在原有流动性风险研究的基础上，充分考虑股票市场异质性，对流动性指标数据进行了最大重复离散小波变换（MODWT），然后运用GARCH-VaR模型分别计算各尺度上的VaR值，并对其进行了有效性检验。通过对各尺度VaR值的统计结果进行分析，验证所投资市场资本规模对风险容纳能力的不同以及长期投资者与短期投资者面对的不同流动性压力。

关键词: 流动性风险, 市场异质, 多尺度

LIU Xiaoqing, YANG Yiwen. Measurement to stock market liquidity risk based on GARCH-VaR model[J]. Computer Engineering and Applications, 2015, 51(1): 223-227.

刘晓青，杨一文. 基于GARCH-VaR模型的股票流动性风险度量[J]. 计算机工程与应用, 2015, 51(1): 223-227.

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Measurement to stock market liquidity risk based on GARCH-VaR model

基于GARCH-VaR模型的股票流动性风险度量

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