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Applied Economics Letters Volume 22, 2015 - Issue 18
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Original Articles

Forecasting intraday volatility and VaR using multiplicative component GARCH model

Xundi DiaoSchool of Electronic Information & Electrical Engineering, Shanghai Jiao Tong University, Shanghai, China;Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, Shatin, N.T., Hong KongCorrespondence[email protected]
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Bin TongGlorious Sun School of Business and Management, DongHua University, Shanghai, ChinaView further author information
Pages 1457-1464 | Published online: 27 Apr 2015

Citations (8)

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Zhuwei Li, Xuejiao Lu & Yuan Fu. (2022) Interaction influence of trading rules on the quality of stock markets: the price limit rule and day trading rule from the Shanghai and Shenzhen Stock exchanges. Applied Economics 54:56, pages 6467-6479.
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Articles from other publishers (7)

Aneessa Firdaus Jumoorty, Ruben Thoplan & Jason Narsoo. (2022) High frequency volatility forecasting: A new approach using a hybrid ANN‐MC‐GARCH model . International Journal of Finance & Economics.
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Aditya BanerjeeSamit Paul. (2020) Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory. Global Business Review, pages 097215092092735.
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Hemant Kumar Badaye & Jason Narsoo. (2020) Forecasting multivariate VaR and ES using MC-GARCH-Copula model. The Journal of Risk Finance 21:5, pages 493-516.
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Ravi Summinga-Sonagadu & Jason Narsoo. (2019) Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH. Risks 7:1, pages 10.
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Sibo Yan & Da Yan. 2019. FinTech as a Disruptive Technology for Financial Institutions. FinTech as a Disruptive Technology for Financial Institutions 99 141 .
Xundi Diao, Hongyang Qiu & Bin Tong. (2018) Does a unique “T+1 trading rule” in China incur return difference between daytime and overnight periods?. China Finance Review International 8:1, pages 2-20.
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Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos, Otto Konstandatos & Alan Rai. (2021) Large scale and rooftop solar generation in the NEM: a tale of two renewables strategies. SSRN Electronic Journal.
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