Realised volatility prediction of high-frequency data with jumps based on machine learning
Asset price jumps are very common in financial markets, and they are essential to accurately predict volatility. This article focuses on 50 randomly selected stocks from the Chinese stock market, utilising high-frequency data to construct two jump models, the heterogeneous autoregressive quarticity...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-12-01
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| Series: | Connection Science |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/09540091.2023.2210265 |