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- W2371920449 abstract "Financial asset return volatility is the core for asset pricing and financial risk management while jump is the important component of returns volatility.Based on the corrected Z-statistical test of jump,this paper identifies the jumps behavior in domestic stock market volatility and studies the time series features of jump.Statistical results show that compared with continuous components,jumps contribute significantly to volatility during market turmoil.Heterogeneous autoregressive models including jumps are built,and by incorporating lagged absolute daily returns and leverage effects,we fit and forecast stock index returns volatility.Empirical analyses indicate that the model incorporating the jumps and the two factors performs best in forecasting at short horizon,however,at longer horizon such as one month ahead,the model separating jumps from the continuous components of volatility outperforms the other volatility models.These facts show that jumps have important impact on volatility forecasts of stock index,while good or bad news have short-term significant influence on volatility asymmetry but have no significant effects on long-term horizon forecasts." @default.
- W2371920449 created "2016-06-24" @default.
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- W2371920449 date "2011-01-01" @default.
- W2371920449 modified "2023-09-23" @default.
- W2371920449 title "Forecasting Returns Volatility for Financial Assets Based on High-Frequency Data" @default.
- W2371920449 hasPublicationYear "2011" @default.
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