Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 8

Results of parameter estimation of HAR-WRVH-JCOV-SJCOV-D model.

MJSJS	0.4075 (8.2102)	0.4884 (10.2240)	−1.1042 (−2.5731)	0.4088 (3.7466)	−1.7641 (−1.2639)	8.4623 (3.5694)	76.59	76.20
MJSJF	0.2538 (5.6012)	0.6433 (13.9344)	−0.8553 (−1.9428)	0.3966 (2.3721)	−2.7839 (−1.3210)	10.2756 (4.5565)	72.91	72.31
MJSJMA	0.4968 (12.4562)	0.3929 (9.5774)	−0.2693 (−0.7230)	0.3153 (1.9903)	1.3712 (0.6949)	7.1215 (3.3952)	73.93	73.64
MJSJEL	0.4764 (10.1889)	0.4144 (9.2588)	−1.7519 (−3.8817)	0.1772 (1.2962)	0.0356 (0.0171)	6.6605 (3.3494)	74.65	74.31
MJSJFI	0.3635 (8.0640)	0.5265 (11.6744)	−0.7717 (−1.9038)	0.4802 (4.4605)	−0.4129 (−0.2143)	11.8221 (4.5098)	73.58	73.19
MJSJEN	0.4178 (8.2299)	0.4570 (9.6344)	−0.9490 (−2.5945)	0.4334 (3.4521)	1.9323 (0.9987)	5.9543 (2.8473)	71.48	71.28
MJSJCO	0.4532 (89462)	0.4221 (8.4206)	−1.4429 (−3.5124)	0.1834 (1.0723)	2, 1721 (1.4491)	7.7883 (3.8071)	71.47	71.17
MJSJME	0.4616 (9.6030)	0.4417 (9.5387)	−1.5962 (−3.4094)	0.4531 (2.3820)	−1.0869 (−0.3929)	6.3769 (2.0161)	75.24	75.09

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, financial, 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.