Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
By Chuangxia Huang, Xu Gong, Xiaohong Chen, Fenghua Wen. 2013
60 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e8e2daf4ff68b99712c6d6736b899d06cc32b15a
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In Economics and Econometrics
- George S. Atsalakis
- Jun Yang
- Juanjuan Chen
- Kimon P. Valavanis
- S. Leng
- Lili Li
- Meihua Yu
- Jianhuan Huang
In Finance
- Jun Yang
- Juanjuan Chen
- Kimon P. Valavanis
- George S. Atsalakis
- S. Leng
- Lili Li
- Meihua Yu
- Jianhuan Huang
In Management Science and Operations Research
- George S. Atsalakis
- Juanjuan Chen
- Kimon P. Valavanis
- Eftychios E. Protopapadakis
- Jianhuan Huang
- Zhujia Yin
- Tugrul U. Daim
- Erkam Güresen
Citations in the corpus
- Stock trend forecasting in turbulent market periods using neuro-fuzzy systems (2015, background): “Other approaches may involve nonlinear regression (Razi and Athappilly 2005), Heterogeneous Autoregressive Models and other variations (Huang et al. 2013).”
- A Network DEA Model with Super Efficiency and Undesirable Outputs: An Application to Bank Efficiency in China (2014, background): “The HHI index is defined as the sum of squares of individual bank loan in the total banking sector loan for China in a certain year [42,43] (hhi_gross_loan).”
- Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016, background): “[31]) since amuchhigher fraction (approximately 80%) of trading is conducted by less-informed individual investors in Chinese stock market than in developed countries.”