Jumps and gold futures volatility prediction

被引：1
|
作者：
Li, Xiaoqian [1 ]
Ma, Xiaoqi [1 ]
机构：
[1] Jeonju Univ, Dept Business Adm, Jeonju Si 55069, South Korea
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
Jump; Chinese gold futures market; HAR; Volatility forecasting; FORECASTING VOLATILITY;
D O I：
10.1016/j.frl.2023.104492
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper mainly checks whether jump component is efficient to predict Chinese gold futures volatility. Based on the high-frequency data, we find jump component can provide valuable in-formation to forecast the volatility of Chinese gold futures market based on the heterogeneous autoregressive-realized volatility model. This paper tries to examine the role of jump in Chinese gold futures market.
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页数：5
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