Markets liquidity risk under extremal dependence: Analysis with VaRs methods

► We verify the existence of extreme illiquidity situations during crisis periods. ► The dependence between the assets negotiated on Tunisian stock market is intense. ► We measure liquidity risk across Time series-EVT combination models. ► We verify the superiority of VaR under dependent hypothesis versus traditional VaR. ► Tunisian stock market liquidity measured by VaR (AR (1)-GARCH (1,1)-GPD) model.