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

Descripción del Articulo

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...

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Detalles Bibliográficos
Autor: Zevallos, Mauricio
Formato: artículo
Fecha de Publicación:2019
Institución:Pontificia Universidad Católica del Perú
Repositorio:Revistas - Pontificia Universidad Católica del Perú
Lenguaje:inglés
OAI Identifier:oai:revistaspuc:article/21503
Enlace del recurso:http://revistas.pucp.edu.pe/index.php/economia/article/view/21503
Nivel de acceso:acceso abierto
Materia:High frequency data
Quantile Regression
Value-at-Risk
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spelling A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday ReturnsZevallos, MauricioHigh frequency dataQuantile RegressionValue-at-RiskIn 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.Pontificia Universidad Católica del Perú2019-10-29info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://revistas.pucp.edu.pe/index.php/economia/article/view/2150310.18800/economia.201902.004Economía; Volume 42 Issue 84 (2019); 94-1012304-43060254-4415reponame:Revistas - Pontificia Universidad Católica del Perúinstname:Pontificia Universidad Católica del Perúinstacron:PUCPenghttp://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessoai:revistaspuc:article/215032020-03-08T19:15:10Z
dc.title.none.fl_str_mv A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
spellingShingle A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
Zevallos, Mauricio
High frequency data
Quantile Regression
Value-at-Risk
title_short A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_full A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_fullStr A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_full_unstemmed A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_sort A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
dc.creator.none.fl_str_mv Zevallos, Mauricio
author Zevallos, Mauricio
author_facet Zevallos, Mauricio
author_role author
dc.subject.none.fl_str_mv High frequency data
Quantile Regression
Value-at-Risk
topic High frequency data
Quantile Regression
Value-at-Risk
description 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.
publishDate 2019
dc.date.none.fl_str_mv 2019-10-29
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://revistas.pucp.edu.pe/index.php/economia/article/view/21503
10.18800/economia.201902.004
url http://revistas.pucp.edu.pe/index.php/economia/article/view/21503
identifier_str_mv 10.18800/economia.201902.004
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv http://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130
dc.rights.none.fl_str_mv http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú
dc.source.none.fl_str_mv Economía; Volume 42 Issue 84 (2019); 94-101
2304-4306
0254-4415
reponame:Revistas - Pontificia Universidad Católica del Perú
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str Revistas - Pontificia Universidad Católica del Perú
collection Revistas - Pontificia Universidad Católica del Perú
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 13.945474
A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
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