1
Assitant Professor of Islamic Azad University, Central Tehran Branch
2
M.A. Student of Olume Eghtesadi University
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
Fallah Shams,M. and Panahi,Y. (2013). Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange. Journal of Investment Knowledge, 3(بهار 1393), 21-42.
MLA
Fallah Shams,M. , and Panahi,Y. . "Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange", Journal of Investment Knowledge, 3, بهار 1393, 2013, 21-42.
HARVARD
Fallah Shams M., Panahi Y. (2013). 'Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange', Journal of Investment Knowledge, 3(بهار 1393), pp. 21-42.
CHICAGO
M. Fallah Shams and Y. Panahi, "Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange," Journal of Investment Knowledge, 3 بهار 1393 (2013): 21-42,
VANCOUVER
Fallah Shams M., Panahi Y. Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange. Journal of Investment Knowledge, 2013; 3(بهار 1393): 21-42.