Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
We establish innovative liquidity premium measures, and construct liquidity-adjusted return and volatility to model assets with extreme liquidity, represented by a portfolio of selected crypto assets, and upon which we develop a set of liquidity-adjusted ARMA-GARCH/EGARCH models. We demonstrate that these models produce superior predictability at extreme liquidity to their traditional counterparts. We provide empirical support by comparing the performances of a series of Mean Variance portfolios.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Liquidity-adjusted Return and Volatility, and Autoregressive Models
We construct liquidity-adjusted return and volatility using purposely designed liquidity metrics (liquidity jump and liquidity diffusion) that incorporate additional liquidity information. Based on these measures, we int…
SensitivityLiquidity Costs, Idiosyncratic Volatility and Expected Stock Returns
This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounc…
Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquid…
ManagementMonetary-Fiscal Interaction and the Liquidity of Government Debt
How does the monetary and fiscal policy mix alter households' saving incentives? To answer these questions, we build a heterogenous agents New Keynesian model where three different types of agents can save in assets with…
Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
We propose that the liquidity of an asset includes two components: liquidity jump and liquidity diffusion. We show that liquidity diffusion has a higher correlation with crypto wash trading than liquidity jump and demons…