Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Mirfeyz Fallah Shams ¹ (Assitant Professor of Islamic Azad University, Central Tehran Branch)
Yagoub Panahi ² (M.A. Student of Olume Eghtesadi University)

Received: 2013-07-01 Accepted : 2013-12-10 Published : 2013-12-10

Keywords: GARCH models, TEPIX,

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