Multifractal volatility forecast of Chinese stock market

被引：0

作者：

Yuan, Ying ^{[1
]}

Zhang, Tonghui ^{[1
]}

Zhuang, Xintian ^{[1
]}

机构：

[1] School of Business Administration, Northeastern University, Shenyang,110169, China

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2020年 / 40卷 / 09期

关键词：

Financial markets;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：2269 / 2281