Modeling High-Frequency Volatility: Trading Volume, Positive and Negative Jumps

被引：0
|
作者：
Tao, Bi [1 ]
Yao, Cheng [2 ]
机构：
[1] CNCERT CC, Beijing 100029, Peoples R China
[2] Beijing Language & Culture Univ, Int Business Sch, Beijing 100083, Peoples R China
来源：
PROCEEDINGS OF THE 11TH INTERNATIONAL CONFERENCE ON INNOVATION AND MANAGEMENT, VOLS I AND II | 2014年
关键词：
Realized volatility; Jumps; Trading volume; HAR-RV-; PJ-NJ-TV;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we consider the effects of trading volume, positive and negative jumps and construct HAR-RV-PJ-NJ-TV model to estimate and forecast high-frequency volatility. We use Hu-Shen300 index high-frequency data to estimate model and compare with other high frequency volatility models. We find that the HAR-RV-PJ-NJ-TV model is much better than HAR-RV model both in out-of-sample forecasts and in-sample fitness. Our HAR-RV-PJ-NJ-TV model is a great progress in modeling high-frequency volatility.
引用
收藏
页码：1291 / 1294
页数：4
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