Intraday data does not improve daily VAR, research suggests

Bids to use bigger datasets give no better loss forecasts, says hedge fund


The use of intraday data in daily value-at-risk (VAR) calculations does nothing to improve the accuracy of risk modelling, according to testing of different VAR models by Ralf Wohrle, portfolio manager at Metzler Asset Management, a Frankfurt-based hedge fund.

The appetite for intraday data is thought by data providers to have increased among more sophisticated risk managers as computing power and higher-frequency trading have grown, and the need for intraday monitoring has risen with the risk

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