Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

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...

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Bibliographic Details
Main Authors: Chuangxia Huang, Xu Gong, Xiaohong Chen, Fenghua Wen
Format: Article
Language:English
Published: Wiley 2013-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2013/143194
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