A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
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 regressi...
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| Format: | Article |
| Language: | English |
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Pontificia Universidad Católica del Perú
2019-10-01
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| Series: | Economía |
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| Online Access: | http://revistas.pucp.edu.pe/index.php/economia/article/view/21503 |