关于利用日内收益预测秘鲁股市每日波动风险的说明

Economía Informa Pub Date : 2019-10-29 DOI:10.18800/economia.201902.004

M. Zevallos

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引用次数: 1

摘要

在本文中，我提出了一个基于日内(高频)数据预测秘鲁股票市场日风险值(VaR)的模型(通过利马证券交易所的综合指数:IGBVL来衡量)。每日波动率是使用实现波动率估计的，我采用回归分位数方法来计算一步预测的VaR值。结果表明，实现波动率是解释秘鲁股市波动的有效措施，我使用分位数回归进行风险估计获得了良好的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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 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.

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Economía Informa

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