Illiquidity at Risk
非流动性风险值
Market efficiency relies fundamentally on stable liquidity. Consequently, forecasting liquidity dynamics is a priority for both investors and regulators. We introduce a new tail-risk metric, Illiquidity-at-Risk (IlliQaR), designed to quantify the magnitude of extreme liquidity dry-ups. Relying upon the realized Amihud (a precise illiquidity measurement derived from high-frequency data as the ratio of realized volatility to trading volume) we assess the predictive power of…