Market risk models for intraday data

@inproceedings{Giot2005MarketRM,
  title={Market risk models for intraday data},
  author={Pierre Roland Giot},
  year={2005}
}
In this paper, market risk at an intraday time horizon is quantified using normal GARCH, Student GARCH, RiskMetrics and high-frequency duration (log-ACD) models set in the framework of the conditional VaR methodology. Because of the small time horizon of the intraday returns (15 and 30 minute returns in this paper), an evaluation of intraday market risk can be useful to market participants (traders, market makers) involved in frequent trading. As expected, the volatility features an important… CONTINUE READING

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