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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Pontificia Universidad Católica del Perú
2019-10-01
|
| Series: | Economía |
| Subjects: | |
| Online Access: | http://revistas.pucp.edu.pe/index.php/economia/article/view/21503 |
| Summary: | 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. |
|---|---|
| ISSN: | 0254-4415 2304-4306 |