Morimoto, Takayuki - Econometric Society - 2004
duration model of price change. In this procedure, we do not assume any distribution on log-return. Although we do not make any … distributional assumption, we may practically choose a suitable distribution e.g. Normal, student, etc, including empirical density …, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …