Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 1

Statistical characteristics of jumps and cojumps.

	Spot jumps	Futures jumps	Cojumps
All jumps
Total observation numbers	58176	58176	58176
Jumps days	437	518	287
Jumps times	726	724	305
Average value	0.010	0.011	0.002
Standard deviation	0.228	0.251	0.011
Jumps probability (%)	1.248	1.244	0.524
Cojumps probability (%)	42.011	42.127	41.026
Positive jumps
Jumps days	246	343	155
Jumps times	379	426	164
Average value	0.008	0.010	0.002
Standard deviation	0.111	0.171	0.023
Jumps probability (%)	0.651	0.732	0.282
Cojumps probability (%)	43.272	38.498	37.861
Reverse jumps
Jumps days	244	236	132
Jumps times	347	298	141
Average value	0.010	0.011	0.004
Standard deviation	0.183	0.170	0.028
Jumps probability (%)	0.596	0.512	0.242
Cojumps probability (%)	40.634	47.315	38.217

Jumps probability = jumps times/total observation numbers  100; cojumps probability = cojumps times/jumps times  100.