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

页码：1291 / 1294

页数：4

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