Singh, Abhay Kumar - 2013
Australia's S&P/ASX-50 stock market, we also use the model to forecast the intraday Value at Risk. As the model requires a daily …'s history. An almost similar dramatic change in intraday volatility was observed on April 4, 2000 when DJIA dropped by 4 … intraday asset volatility. There are numerous models available in the finance literature to model financial asset volatility …