Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 7

HAR-RV-SJCOV-D model parameter estimation results.

MSJS	0.4107 (8.1612)	0.4960 (10.3464)	−1.0678 (−2.4199)	−1.7831 (−1.2487)	8.5850 (3.4918)	76.39	75.99
MSJF	0.2655 (5.6821)	0.6432 (13.8702)	−0.8441 (−1.9121)	−2.9128 (−1.4391)	10.2950 (4.3666)	72.75	72.14
MSJMA	0.5005 (12.5364)	0.4028 (9.7122)	−0.2632 (−0.6959)	1.4611 (0.7463)	7.3349 (3.4730)	73.82	73.51
MSJEL	0.4763 (10.1210)	0.4225 (9.3792)	−1.7562 (−3.8770)	0.1262 (0.0634)	6.8121 (3.3899)	74.63	74.26
MSJFI	0.3660 (8.0568)	0.5321 (11.7360)	−0.7651 (−1.8742)	0.0330 (0.0174)	13.3071 (4.8638)	73.40	72.88
MSJEN	0.4216 (8.2480)	0.4667 (9.6814)	−0.9969 (−2.7386)	1.8958 (0.9404)	6.4216 (3.0110)	71.25	71.05
MSJCO	0.4552 (8.9773)	0.4268 (8.5645)	−1.4559 (−3.5269)	2.1232 (1.3942)	7.7856 (3.7348)	71.46	71.16
MSJME	0.4535 (9.7469)	0.4575 (10.2969)	−1.5962 (−3.4077)	−0.7180 (−0.2507)	7.0815 (2.2716)	75.11	74.92

Note: MSJS and MSJF represent the HAR-RV-SJCOV-D models for the CSI 300 stock and futures index, respectively; MSJMA, MSJEL, MSJFI, MSJEN, MSJCO, and MSJME represent the HAR-RV-SJCOV-D model of material, telecommunication, finance, energy, consumption, and medicine, respectively. denotes the HAR-RV model’s adjusted goodness of fit, and , , and represent significance at the 1%, 5%, and 10% levels, respectively.