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

Autor:	Mauricio Zevallos
Jazyk:	English<br />Spanish; Castilian
Rok vydání:	2019
Předmět:	High frequency data Quantile Regression Value-at-Risk Economic growth development planning HD72-88 Economic history and conditions HC10-1085 Economics as a science HB71-74
Zdroj:	Economía, Vol 42, Iss 84 (2019)
Druh dokumentu:	article
ISSN:	0254-4415 2304-4306
DOI:	10.18800/economia.201902.004
Popis:	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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/7e74a6dd245843ababbe6a5b4ea11f5a Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF