Liquidity forecasting for Liquidity gap determination
Subject Areas : Financial Knowledge of Securities Analysis
Keywords: Liquidity Forecasting, Banking, long memory, ARFIMA, FIGACH
, 
, family models,
Abstract :
There is a tradeoff between opportunity cost of surplus cash holding forcontrolling liquidity risk and revenue. In this paper we estimate cash flowmodels to forecast liquidity gap under impact of economic conditions aswell as the calendar effect. Moreover we make models for estimation dailyliquidity gap as a result of bank daily deposits and loans operations.Therefore we apply the sources and uses of funds approach and we usedeposits and loans as the important portions of the cash flow.