A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns

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dc.contributor.authorZevallos, Mauricio
dc.date.accessioned2020-12-17T15:19:57Z
dc.date.available2020-12-17T15:19:57Z
dc.date.issued2019-10-29
dc.description.abstractIn 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.en_US
dc.formatapplication/pdf
dc.identifier.doihttps://doi.org/10.18800/economia.201902.004
dc.identifier.urihttp://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130
dc.language.isoeng
dc.publisherPontificia Universidad Católica del Perú. Fondo Editoriales_ES
dc.publisher.countryPE
dc.relation.ispartofurn:issn:2304-4306
dc.relation.ispartofurn:issn:0254-4415
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/4.0*
dc.sourceEconomía; Volume 42 Issue 84 (2019)es_ES
dc.subjectHigh frequency dataen_US
dc.subjectQuantile Regressionen_US
dc.subjectValue-at-Risken_US
dc.subjectVolatilidad bursátiles_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01
dc.titleA Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returnses_ES
dc.typeinfo:eu-repo/semantics/article
dc.type.otherArtículo

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Economía. Volumen 42 Número 84 (2019)