Intraday Value-at-Risk.

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York Stock Exchange. Because of the small time horizon of the intraday returns (15 and 30 minute returns), intraday VaR can be useful to market participants (traders, market makers) involved in frequent trading.