Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal
Table 6
Estimation results of HAR-RV-JV-D model considering market boundaries.
Bull market
MJDS
0.3331 (3.4066)
0.5426 (5.1643)
−0.9790 (−1.9388)
5.2725 (2.9206)
0.7809 (4.2862)
77.70
MJDF
0.2250 (2.0879)
0.6524 (5.6169)
−0.4012 (−0.5368)
0.0880 (0.2344)
0.7562 (2.1457)
65.63
Bear market
MJDS
0.1768 (1.7099)
0.5224 (5.0602)
1.5572 (1.9155)
0.0170 (0.0493)
0.8007 (6.0153)
54.86
MJDF
0.2576 (2.2550)
0.5820 (4.9564)
0.2577 (0.4790)
−0.2465 (−1.8243)
0.4723 (3.6473)
62.80
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.
