Based on the VAR model，we modify MRR model ( Madhavan et al． 1997) by extending the expectation formula which measures the next trade sign．We argue that MRR model overestimates the information risk as the expectation formula in MRR model could not capture the full information．We present a VAR structure to replace the one period expectation formula in MRR model and give a new model ( VAR-MRR) ．Using the high frequency data of the 50 stocks of the SSE 50 index of 2004，we estimate and test the information risks of MRR and VAR-MRR．The results show that MRR overestimates the information risk，and the incomplete information capturing results in inaccurate estimations in MRR．Further，the results show that the liquidity cost dominated the information risk． Shanghai Stock Exchange exhibit U-shape intraday patterns for the information risk and the liquidity cost．