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, issue 1

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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https://doi.org/10.1155/2013/143194

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:143194

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