Intraday VaR Measurement Using Ultra High Frequency Data

With the rapid development of financial markets, the traditional VaR which measured by day has been unable to meet the needs of financial risk management. Calculating intraday value at risk whose holding period is less than one day becomes increasingly important. This article sorted and refined and improved measure method of IVaR, and gave full consideration into the details of the measurement. And in the end, combined with the characteristics of China's stock market, we did an empirical study on IVaR.