Feng, Qingyuan (2023) Analysis of the Relationship Between ETF Volatility and Liquidity Based on ARMA-GARCH Model. In: Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China.
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Abstract
Based on ARMA-GARCH model, this paper takes Amihud's non liquidity ratio as an indicator to measure ETF liquidity, and makes an empirical analysis on the impact of ETF liquidity on return volatility in China. The analysis results show that the weak liquidity of ETFs has a positive impact on the vola
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:18 |
| Last Modified: | 17 Apr 2026 03:08 |
| URI: | http://eprints.eai.eu/id/eprint/43162 |
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