Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ), converting the realized Volatility (RV) into the adjusted realized volatility (ARV), and making use of the influence of momentum effect on the volatility, a new model called HAR-CJ-M is developed in this...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2013-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/143194 |