Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 14

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

MJCMA	0.5057 (7.5926)	0.3937 (6.0369)	−1.1981 (−2.2252)	0.0519 (0.1706)	0.3595 (1.9676)	73.33	73.18
MJCEL	0.5333 (7.4606)	0.4023 (5.9174)	−1.8263 (−3.2644)	−0.2011 (−0.7554)	0.2102 (1.2288)	78.21	78.18
MJCFI	0.3626 (5.0397)	0.5134 (6.7341)	0.1961 (0.4974)	0.3706 (1.8131)	0.6676 (5.2742)	72.40	71.73
MJCEN	0.5272 (7.1110)	0.3677 (4.8569)	−0.5863 (−1.1236)	0.8939 (1.9110)	0.4872 (3.3704)	74.68	74.15
MJCCO	0.4121 (5.3987)	0.5012 (6.5264)	−0.7491 (−1.4306)	−0.1370 (−0.7383)	0.3288 (1.4910)	74.45	74.37
MJCME	0.3914 (5.9873)	0.5147 (6.9847)	−0.5592 (−1.9154)	0.4475 (0.9214)	0.5704 (3.4669)	75.43	75.09

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.