ABSTRACT
Intradaydata have becomeamajor pole of interest for researchers andfinancial agentswhopractice intraday trading.1 For these agents, intraday risk evaluation – throughmeasures such as conditional volatility, kurtosis orValue at Risk – is an important tool to follow the market. The analysis of risk is related to the analysis of probabilities and, therefore, of the conditional probability distribution of asset returns.Any function describing this distribution conveys information about the likelihood that the next realization will take a certain value.
