The Empirical Analysis of Liquidity Risk
Deng Juan · Journal of Guizhou University · 2009
This paper,at first,analyzes the feature of liquidity time Series.Autoregressive moving average model is built according to the characteristics of correlation and partial correlation.LM is used to test whether the heteroskedasticity phenomenon exists in residual series;In order to describe the trait cluster better,ARMA(1,1)-ARCH(1) model is built too;At the same time,LM and Q statistics are used to test to explain the rationality of Model.Finally,conditional heteroskedasticity is easy to know based on the model,and then the value of liquidity risk can be calculated.