Abstract: In this paper,the spreads of the highest and the lowest prices in one minute and the day-by-day return are combined to be analyzed for the first time,and an estimator and a forecasting method of dynamic liquidity adjusted Value at Risk are presented based on compound extreme value theory.Finally an empirical analysis of two stocks is proposed.

Key words: compound extreme value theory, high frequency data, pread in one minute liquidity-adjusted value at risk(LaVaR)