Measurement Method for Bank Liquidity Risk based on EGARCH-VaR

摘要

EGARCH-VaR model is established for measure the liquidity risk. Meanwhile, liquidity gap is selected as the measurement index. It is tested that logarithmic difference time series of the bank liquidity gap have the characteristics of peak and fat tail distribution and high-order ARCH effect. By using the maximum likelihood estimation method for EGARCH model's perturbation parameter estimation, the value of VaR is calculated and tested. Comparing with GARCH model, EGARCH-VaR model is more accurate and efficient.