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| Author: | Giot, P. |
| Title: | Market risk models for intraday data |
| Journal: | European Journal of Finance
2005 : AUG, VOL. 11:4, p. 309-324 |
| Index terms: | Duration analysis Regression analysis Value-at-risk |
| Freeterms: | Intraday market risk |
| Language: | eng |
| Abstract: | This paper quantifies market risk at an intraday time horizon 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 case), an evaluation of intraday market risk can be useful to market participants (traders, market makers) involved in frequent trading. As was expected, the volatility features an important intraday seasonality, which must be removed prior to using the market risk models. |
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