EFFICIENCY COMPARISON AMONG GARCH MODELS IN MODELING AND LIQUIDITY MEASUREMENT. CASE STUDY: TEHRAN STOCK EXCHANGE

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FALLAHSHAMS MIRFEYZ; PANAHI YAGOUB

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Journal: INVESTMENT KNOWLEDGE Year:2014 | Volume:3 | Issue:9 Page(s): 21-41

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Information Journal Paper

Title

EFFICIENCY COMPARISON AMONG GARCH MODELS IN MODELING AND LIQUIDITY MEASUREMENT. CASE STUDY: TEHRAN STOCK EXCHANGE

Author(s)

FALLAHSHAMS MIRFEYZ | PANAHI YAGOUB | Issue Writer Certificate

Keywords

GARCH MODELSQ2

TEPIXQ1

Abstract

In investors' opinion, liquidity is a critical item for a market to be chosen by investors. This paper aim is a comparison among efficiency of 5 different GARCH MODELS for modeling and liquidity risk measurement. Due to do that, a time series of data belong stock market for a period of 1381-1390 were gathered. Then liquidity risk was modeled by some GARCH MODELS. Moreover, an Amihood criterion was calculated in accordance with TEPIX. The results show that M-Arch is the best model among other GARCH MODELS.

Cites

COMPARE THE EFFICIENCY OF THE GARCH AND ARCH METHODS IN PREDICTING VAR FOR OPTIMAL PORTFOLIO SELECTION

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APA: Copy

FALLAHSHAMS, MIRFEYZ, & PANAHI, YAGOUB. (2014). EFFICIENCY COMPARISON AMONG GARCH MODELS IN MODELING AND LIQUIDITY MEASUREMENT. CASE STUDY: TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE, 3(9), 21-41. SID. https://sid.ir/paper/187993/en

Vancouver: Copy

FALLAHSHAMS MIRFEYZ, PANAHI YAGOUB. EFFICIENCY COMPARISON AMONG GARCH MODELS IN MODELING AND LIQUIDITY MEASUREMENT. CASE STUDY: TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2014;3(9):21-41. Available from: https://sid.ir/paper/187993/en

IEEE: Copy

MIRFEYZ FALLAHSHAMS, and YAGOUB PANAHI, “EFFICIENCY COMPARISON AMONG GARCH MODELS IN MODELING AND LIQUIDITY MEASUREMENT. CASE STUDY: TEHRAN STOCK EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 3, no. 9, pp. 21–41, 2014, [Online]. Available: https://sid.ir/paper/187993/en

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