Forecasting stock volatility during the stock market crash period: The role of Hawkes process

Lina Fan, Hao Yang, Jia Zhai and Xiaotao Zhang

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: We use a heterogeneous autoregressive model with Hawkes process (HAR-RV-H) to forecast the volatility of 300 major individual stocks in the Chinese stock market during the 2015 market crash period. The Hawkes intensity process is calculated with the tick-by-tick data of individual stocks. We show that the Hawkes indicator has predictive power for most individual stocks in the market crash period. We compare the in- and out-of-sample forecast results for the HAR type models and conclude that the Hawkes indicator can improve both in- and out-of-sample forecasting abilities.

Keywords: HAR model; Realized volatility; Hawkes process; Forecast (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s154461232300212x

DOI: 10.1016/j.frl.2023.103839

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