Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

► We propose a new method of Value-at-Risk measurement by integrating a multifractal volatility model and EVT technique. ► We use a multifractal tool to analyze high-frequency intraday price data of SSEC index in China. ► Our new VaR model outperforms several widely used GARCH-type models.