Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 3

The estimation of HAR-RV-JCOV-D model.

MS	0.4481 (8.9860)	0.4809 (10.0063)	−0.9357 (−2.1456)				75.99
MJS	0.4442 (9.0093)	0.4733 (9.8989)	−0.9750 (−2.2977)	0.4205 (3.5723)			76.20
MJDS	0.4425 (8.9315)	0.4769 (9.8791)	−1.0142 (−2.4074)		0.0884 (0.4985)	0.5597 (4.4456)	76.44
MF	0.2865 (6.1448)	0.6425 (13.5888)	−0.5598 (−1.2920)				72.14
MJF	0.2741 (6.0532)	0.6427 (13.7113)	−0.5720 (−1.3135)	0.4073 (2.3320)			72.31
MJDF	0.2724 (5.9461)	0.6481 (13.5848)	−0.5886 (−1.3584)		−0.0635 (−0.4400)	0.6004 (3.4683)	72.59

MS, MJS, and MJDS represent HAR-RV, HAR-RV-JCOV, and HAR-RV-JCOV-D models for the CSI 300 stock index, respectively, while MF, MJF, and MJDF represent the HAR-RV, HAR-RV-JCOV, and HAR-RV-JCOV-D models of the CSI 300 stock index, respectively, and , , and represent significance at the 1%, 5%, and 10% levels, respectively.