Open Access
2013 Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Chuangxia Huang, Xu Gong, Xiaohong Chen, Fenghua Wen
Abstr. Appl. Anal. 2013(SI22): 1-13 (2013). DOI: 10.1155/2013/143194


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.


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Chuangxia Huang. Xu Gong. Xiaohong Chen. Fenghua Wen. "Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model." Abstr. Appl. Anal. 2013 (SI22) 1 - 13, 2013.


Published: 2013
First available in Project Euclid: 26 February 2014

zbMATH: 1273.91401
Digital Object Identifier: 10.1155/2013/143194

Rights: Copyright © 2013 Hindawi

Vol.2013 • No. SI22 • 2013
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