Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal
Table 4
The estimation of HAR-RV-JCOV-D model based on policy demarcation.
First phase
MJDS
0.3393 (6.1027)
0.5695 (10.3700)
−0.3079 (−0.8807)
−0.0743 (−0.5922)
0.5910 (4.5360)
74.58
MJDF
0.1693 (2.8518)
0.7201 (11.5982)
0.6145 (1.6923)
−0.1081 (−0.8139)
0.6398 (3.5412)
76.57
Phase II
MJDS
0.5236 (7.0948)
0.2709 (3.7670)
−1.5753 (−2.0896)
3.8236 (3.4609)
−0.9015 (−1.2498)
54.08
MJDF
0.3643 (5.6933)
0.4357 (5.6978)
−2.4191 (−3.0024)
0.4643 (0.3007)
−0.5111 (−0.6683)
46.23
Note: MJDS and MJDF represent HAR-RV-JCOV-D models for the CSI 300 stock index and futures index, respectively, and ,, and represent significance at the 1%, 5%, and 10% levels, respectively.
