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Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Joint Authors
Wen, Fenghua
Gong, Xu
Huang, Chuangxia
Chen, Xiaohong
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-28
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Huang, Chuangxia& Gong, Xu& Chen, Xiaohong& Wen, Fenghua. 2013. Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-449188
Modern Language Association (MLA)
Huang, Chuangxia…[et al.]. Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model. Abstract and Applied Analysis No. 2013 (2013), pp.1-13.
https://search.emarefa.net/detail/BIM-449188
American Medical Association (AMA)
Huang, Chuangxia& Gong, Xu& Chen, Xiaohong& Wen, Fenghua. Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-449188
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-449188