| Full text | |
| Author(s): |
Zevallos, Mauricio
Total Authors: 1
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| Document type: | Journal article |
| Source: | REVISTA ECONOMIA; v. 42, n. 84, p. 94-101, 2019. |
| Web of Science Citations: | 0 |
| Abstract | |
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. (AU) | |
| FAPESP's process: | 18/04654-9 - Time series, wavelets and high dimensional data |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |