Zevallos, Mauricio2020-12-172020-12-172019-10-29http://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130In 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.application/pdfenginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0High frequency dataQuantile RegressionValue-at-RiskVolatilidad bursátilinfo:eu-repo/semantics/articlehttps://purl.org/pe-repo/ocde/ford#5.02.01https://doi.org/10.18800/economia.201902.004