Multifractal volatility forecast of Chinese stock market

In this paper, we propose a modified multifractal volatility measure and construct multifractal volatility models based on HAR-type models including jumps and leverage effect. We apply Diebold- Mariano test and model confidence set test to compare the empirical performance of these models. The empirical results show that, 1) Based on the same paradigm, weighted adjusted realized volatility is better than realized volatility and our new multifractal volatility outperforms the other methods. 2) Based on the same volatility method, these models perform better when including jumps and leverage effect. 3) By the comparison among models, LHAR-MVWA-CJ model and LHAR-MVWA model outperform the other models. © 2020, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.