Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model

Abstract and Applied Analysis

Volumn 2013, Issue , 2013, Pages

  Huang, Chuangxia ^a   Gong, Xu ^a,b   Chen, Xiaohong ^b   Wen, Fenghua ^b  

^a CHANGSHA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b CENTRAL SOUTH UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84876515221     PISSN: 10853375     EISSN: 16870409     Source Type: Journal    
DOI: 10.1155/2013/143194     Document Type: Article

References (23)

1. Engle R. F., Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982 50 4 987 1007 10.2307/1912773 MR666121 ZBL0491.62099
2. Bollerslev T., Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 1986 31 3 307 327 10.1016/0304-4076(86)90063-1 MR853051
3. Taylor S. J., Modeling Financial Time Series 1986 Chichester, UK John Wiley & Sons
4. Andersen T. G., Bollerslev T., Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 1998 39 4 885 905 2-s2.0-0005880209 (Pubitemid 128470723)
5. Andersen T. G., Bollerslev T., Diebold F. X., Ebens H., The distribution of realized stock return volatility. Journal of Financial Economics 2001 61 1 43 76 2-s2.0-0035402387 10.1016/S0304-405X(01)00055-1 (Pubitemid 33376366)
6. Koopman S. J., Jungbacker B., Hol E., Forecasting daily variability of the S & P 100 stock index using historical, realised and implied volatility measurements. Journal of Empirical Finance 2005 12 3 445 475 2-s2.0-19644389883 10.1016/j.jempfin.2004.04.009 (Pubitemid 40742596)
7. Wei Y., Yu N. T., The predicting model of the volatility of China's stock market and its SPA test. Journal of Financial Research 2007 7 138 150
8. Wei Y., Volatility forecasting models for CSI 300 index futures. Journal of Management Sciences in China 2010 2 66 76
9. Corsi F., A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics 2009 7 2 174 196 2-s2.0-62849101579 10.1093/jjfinec/nbp001
10. Müller U., Dacorogna M., Dav R., Pictet O., Olsen R., Ward J., Fractals and intrinsic time-a challenge to econometricians. Proceedings of the 39th International AEA Conference on Real Time Econometrics October 1993 Luxembourg
11. Zhang B., Zhong Y. J., Tian J. F., Long memory-driven factors of volatility in Shanghai complex index based on high frequency data. Statistics & Information Forum 2009 24 6 21 26
12. Andersen T. G., Bollerslev T., Diebold F. X., Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility. The Review of Economics and Statistics 2007 89 4 701 720 2-s2.0-36448949838 10.1162/rest.89.4.701
13. Wang C. F., Yao N., Fang Z. M., Li Y., An empirical research on jump behavior of realized volatility in Chinese stock markets. Systems Engineering 2008 2 1 6
14. Andersen T. G., Bollerslev T., Huang X., A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Journal of Econometrics 2011 160 1 176 189 10.1016/j.jeconom.2010.03.029 MR2745876
15. Zhang X. F., Tian J. F., A new realized volatility model driven by heterogeneous finance market. The Journal of Quantitative & Technical Economics 2011 9 140 153
16. Jegadeesh N., Titman S., Returns to buying winners and selling losers: implication for stock market efficient. Journal of Finance 1993 48 1 65 91
17. Grinblatt M., Han B., Prospect theory, mental accounting, and momentum. Journal of Financial Economics 2005 78 2 311 339 2-s2.0-27244437891 10.1016/j.jfineco.2004.10.006 (Pubitemid 41511905)
18. Frazzini A., The disposition effect and underreaction to news. Journal of Finance 2006 61 4 2017 2046 2-s2.0-33746832945 10.1111/j.1540-6261.2006.00896.x (Pubitemid 44181338)
19. Hansen P. R., Lunde A., Consistent ranking of volatility models. Journal of Econometrics 2006 131 1-2 97 121 10.1016/j.jeconom.2005.01.005 MR2275996
20. Martens M., Measuring and forecasting S & P 500 index-futures volatility using high-frequency data. Journal of Futures Markets 2002 22 6 497 518 2-s2.0-0036248776 10.1002/fut.10016 (Pubitemid 37524804)
21. Barndorff-Nielsen O. E., Shephard N., Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics 2004 2 1 1 37 2-s2.0-30744467415 10.1093/jjfinec/nbi022
22. Barndorff-Nielsen O. E., Shephard N., Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics 2006 4 1 1 30 2-s2.0-30744467415 10.1093/jjfinec/nbi022 (Pubitemid 43091647)
23. Andersen T. G., Dobrev D., Schaumburg E., Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics 2012 169 1 75 93 10.1016/j.jeconom.2012.01.011 MR2935265