This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the...

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins...