143194.fig.002a
(a)
143194.fig.002b
(b)
143194.fig.002c
(c)
Figure 2: (a) Comparison of the in-sample forecasting performance of the HAR-ARV, HAR-CJ, and HAR-CJ-M models (1 day). ARV represents the true volatility; HAR-ARV, HAR-CJ, and HAR-CJ-M represent the forecast volatility of the HAR-ARV, HAR-CJ, and HAR-CJ-M models, respectively. (b) Comparison of the in-sample forecasting performance of the HAR-ARV, HAR-CJ and HAR-CJ-M model (1 week). ARV represents the true volatility; HAR-ARV, HAR-CJ, and HAR-CJ-M represent the forecast volatility of the HAR-ARV, HAR-CJ, and HAR-CJ-M models, respectively. (c) Comparison of the in-sample forecasting performance of the HAR-ARV, HAR-CJ, and HAR-CJ-M model (1 month). In the figure, ARV represents the true volatility; HAR-ARV, HAR-CJ, and HAR-CJ-M represent the forecast volatility of the HAR-ARV, HAR-CJ, and HAR-CJ-M models, respectively.