Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 15

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

MJDMA	0.5854 (8.5694)	0.2604 (3.8695)	−1.6640 (−2.8863)	2.4777 (2.7443)	−0.4814 (−0.9827)	61.77	61.49
MJDEL	0.5351 (7.6652)	0.2958 (4.5498)	−1.7786 (−2.4074)	2.9781 (2.1134)	−0.3364 (−1.0188)	60.90	60.53
MJDFI	0.4397 (6.0500)	0.3982 (5.3187)	−1.6751 (−1.9404)	2.0081 (1.6029)	−1.1818 (−1.7495)	50.62	50.33
MJDEN	0.5362 (7.9895)	0.2801 (4.3758)	−1.4226 (−2.3002)	−0.8834 (−2.3276)	4.0029 (2.6769)	52.04	51.33
MJDCO	0.5976 (8.5256)	0.2022 (2.8437)	−1.9512 (−2.8161)	2.2132 (1.0092)	−0.9157 (−1.4032)	51.34	51.29
MJDME	0.5800 (8.1133)	0.2778 (4.0144)	−2.5362 (−3.3592)	2.1801 (1.3794)	−1.2389 (−2.0832)	63.33	63.13

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.