We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and short positions. Among the GARCH-based models we consider is the so-called Autoregressive...

Purpose – The purpose of this paper is to propose a simple regression‐based method of forecasting daily electricity demand, which may serve as a more accurate benchmark for short‐term forecasts. Design/methodology/approach – In order to make more efficient use of the calendar effects in...