Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach

• Main Authors: LIU, Shouwei, TSE, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: High-frequency transaction data; Market microstructure noise; Asymmetric autoregressive conditional duration model; Intraday Value-at-Risk; Backtesting; Econometrics; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/soe_research/1871; https://ink.library.smu.edu.sg/context/soe_research/article/2871/viewcontent/IntradayValue_ar_risk_pp.pdf
• Institution: Singapore Management University

We propose to compute the Intraday Value-at-Risk (IVaR) for stocks using real-time transaction data. Tick-by-tick data filtered by price duration are modeled using a two-state asymmetric autoregressive conditional duration (AACD) model, and the IVaR is calculated using Monte Carlo simulation based o...