A Note on Forecasting Daily Peruvian Stock Market VolatilityRisk Using Intraday Returns

Mauricio Zevallos

Revista Economía, 2019, vol. 42, issue 84, 94-101

Abstract: n 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.

Keywords: High frequency data; Quantile Regression; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 C58 (search for similar items in EconPapers)
Date: 2019
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