Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal
Table 5
The estimation of HAR-RV-JCOV-D model based on market boundary.
Bull market
MJDS
0.2895 (2.5677)
0.6242 (5.1835)
−0.5482 (−1.0711)
1.3150 (2.0272)
0.8510 (4.3897)
76.20
MJDF
0.1871 (1.9315)
0.6780 (6.1020)
0.4904 (0.7484)
1.0303 (1.8857)
0.8701 (4.7913)
66.11
Bear market
MJDS
0.3647 (3.5029)
0.4195 (4.4671)
0.7208 (1.0713)
−0.0847 (−0.7442)
0.4616 (2.4861)
56.68
MJDF
0.2932 (2.6460)
0.5410 (4.7227)
0.9210 (1.4457)
−0.2038 (−1.8285)
0.4685 (2.3628)
63.68
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.
