文章基本信息

标题：A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
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作者：Mauricio Zevallos
期刊名称：Economía
印刷版ISSN：0254-4415
电子版ISSN：2304-4306
出版年度：2019
卷号：42
期号：84
页码：94-101
DOI：10.18800/economia.201902.004
出版社：Pontificia Universidad Católica del Perú
摘要：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.
其他摘要：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.
关键词：High frequency data; Quantile Regression; Value-at-Risk.
其他关键词：High frequency data;Quantile Regression;Value-at-Risk