Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

Chuangxia Huang, Xu Gong, Xiaohong Chen and Fenghua Wen

Abstract and Applied Analysis, 2013, vol. 2013, 1-13

Abstract:

Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ), converting the realized Volatility (RV) into the adjusted realized volatility (ARV), and making use of the influence of momentum effect on the volatility, a new model called HAR-CJ-M is developed in this paper. At the same time, we also address, in great detail, another two models (HAR-ARV, HAR-CJ). The applications of these models to Chinese stock market show that each of the continuous sample path variation, momentum effect, and ARV has a good forecasting performance on the future ARV, while the discontinuous jump variation has a poor forecasting performance. Moreover, the HAR-CJ-M model shows obviously better forecasting performance than the other two models in forecasting the future volatility in Chinese stock market.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:143194

DOI: 10.1155/2013/143194

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