| dc.creator | Zevallos, Mauricio | |
| dc.date | 2019-10-29 | |
| dc.date.accessioned | 2023-03-08T19:00:10Z | |
| dc.date.available | 2023-03-08T19:00:10Z | |
| dc.identifier | https://revistas.pucp.edu.pe/index.php/economia/article/view/21503 | |
| dc.identifier | 10.18800/economia.201902.004 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5961747 | |
| dc.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. | en-US |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Pontificia Universidad Católica del Perú | en-US |
| dc.relation | https://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130 | |
| dc.rights | http://creativecommons.org/licenses/by/4.0 | es-ES |
| dc.source | Economía; Volume 42 Issue 84 (2019); 94-101 | es-ES |
| dc.source | 2304-4306 | |
| dc.source | 0254-4415 | |
| dc.subject | High frequency data | en-US |
| dc.subject | Quantile Regression | en-US |
| dc.subject | Value-at-Risk | en-US |
| dc.title | A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns | en-US |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion | |
