Volumen 42 Número 84 (2019)

Permanent URI for this collectionhttp://54.81.141.168/handle/123456789/175937

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Presentation
  • Presentation Rodríguez, Gabriel

    • Articles
  • Probit Models for Grouped-data Migration Flows: A Theoretical Note Chasco, Coro; Aroca, Patricio; Anselin, Luc; 1-8
  • Subsidizing Innovation and Production Atallah, Gamal; 9-35
  • Productivity Growth: Patterns and Determinants across the World Kim, Young Eun; Loayza, Norman V; 36-93
  • A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns Zevallos, Mauricio; 94-101
  • The Economic Legacy of General Velasco: Long-Term Consequences of Interventionism Martinelli, César; Vega, Marco; 102-133

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      A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
      (Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Zevallos, Mauricio
      In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. Daily volatility is estimated using realised volatility and I adopted a regression quantile approach to calculate one-step predicted VaR values. The results suggest that the realised volatility is a useful measure to explain the Peruvian stock market volatility and I obtained sound results using quantile regression for risk estimation.