Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 13

The estimation of the HAR-RV-JCOV-D model in the first stage.

MJDMA	0.2636 (3.6540)	0.5078 (9.7369)	0.0899 (0.1527)	−1.9483 (−1.9152)	0.7678 (3.0384)	44.96	44.80
MJDEL	0.3317 (3.5180)	0.4239 (4.4116)	−0.0609 (−0.0537)	0.0254 (0.0119)	0.4677 (0.7107)	38.82	38.56
MJDFI	0.2295 (2.4748)	0.4672 (5.4210)	0.2524 (0.3825)	0.0570 (0.0472)	0.9819 (1.9371)	34.69	34.33
MJDEN	−0.0347 (−0.4804)	0.6614 (10.2063)	1.8768 (4.1064)	1.3164 (1.2010)	1.0942 (2.4342)	32.39	32.16
MJDCO	0.2186 (2.5194)	0.5119 (5.9503)	0.8043 (1.2884)	−3.6701 (−2.0620)	−0.3320 (−0.4063)	36.80	36.58
MJDME	0.4243 (6.1018)	0.4003 (5.6306)	−0.0828 (−0.1580)	−5.1360 (−2.3703)	0.2782 (0.2486)	50.85	50.29

Note: MJDMA, MJDEL, MJDFI, MJDEN, MJDCO, and MJDME represent the HAR-RV-JCOV-D models for the SSE material, telecommunication, financial, energy, consumption, and medicine and other industry indices, respectively; represents the adjusted goodness of fit of the HAR-RV-JCOV models; , , and represent significance at the 1%, 5%, and 10% levels.