Calculation and empirical study of dynamic liquidity risk based on the generalized error distribution (ged)-garch model

The traditional VaR ignores the existence of liquidity risk, with assuming trade is frictionless. The studies of the liquidity risk are mostly static. From the view of time-varying point, this paper put forward the concept of dynamic liquidity risk, based on the improved bid-ask spread model for taking into account the endogenous and exogenous liquidity risk. The dynamic liquidity risk was carried out by the GED-GARCH model, and the empirical study show that the method can accurately measure the dynamic liquidity risk.