Modeling the Liquidity Gap in a Private Bank

Ali Sadeghzadeh Yazdi, Esmaiel Abounoori and Alireza Erfani
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Ali Sadeghzadeh Yazdi: Semnan University
Esmaiel Abounoori: Semnan University
Alireza Erfani: Semnan University

Journal of Money and Economy, 2018, vol. 13, issue 2, 153-176

Abstract: The present study suggests a model for predicting liquidity gap, based on source and cost of funds approach concerning the daily time series data (25 March 2009 to 19 March 2018), in order to control and manage the liquidity risk. Using the family of autoregressive conditional heteroscedasticity models, the behavior of

Keywords: Liquidity Forecast; Liquidity Risk; GARCH Family; Rolling Window (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:13:y:2018:i:2:p:153-176

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