VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall...

This paper proposes a new class of estimators based on the inter-quantile-range of intraday returns, referred to as Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility measure, the IQRBV estimate is insensitive to market...