Forecasting Volatility in the Chinese Stock Market Under Model Uncertainty

2011 ◽  
Author(s):  
Yong Li ◽  
Wei-Ping Huang ◽  
Jie Zhang
Keyword(s):  
Stock Market ◽  
Model Uncertainty ◽  
Chinese Stock Market ◽  
Forecasting Volatility

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

2013 ◽  
Vol 2013 ◽  
pp. 1-13 ◽  
Author(s):  
Chuangxia Huang ◽  
Xu Gong ◽  
Xiaohong Chen ◽  
Fenghua Wen
Keyword(s):  
Stock Market ◽  
Sample Path ◽  
Realized Volatility ◽  
The Other ◽  
Chinese Stock Market ◽  
Momentum Effect ◽  
Forecasting Performance ◽  
The Future ◽  
Forecasting Volatility ◽  
Continuous Volatility

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 paper. At the same time, we also address, in great detail, another two models (HAR-ARV, HAR-CJ). The applications of these models to Chinese stock market show that each of the continuous sample path variation, momentum effect, and ARV has a good forecasting performance on the future ARV, while the discontinuous jump variation has a poor forecasting performance. Moreover, the HAR-CJ-M model shows obviously better forecasting performance than the other two models in forecasting the future volatility in Chinese stock market.

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