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

In investor's 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.