A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
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 regressio...
| Autor: | |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2019 |
| País: | Perú |
| Institución: | Pontificia Universidad Católica del Perú |
| Repositorio: | Revistas - Pontificia Universidad Católica del Perú |
| Idioma: | inglés |
| OAI Identifier: | oai:ojs.pkp.sfu.ca:article/21503 |
| Acceso en línea: | http://revistas.pucp.edu.pe/index.php/economia/article/view/21503 |
| Access Level: | acceso abierto |
| Palabra clave: | High frequency data Quantile Regression Value-at-Risk |
| Sumario: | 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. |
|---|