- About this Journal ·
- Abstracting and Indexing ·
- Advance Access ·
- Aims and Scope ·
- Annual Issues ·
- Article Processing Charges ·
- Articles in Press ·
- Author Guidelines ·
- Bibliographic Information ·
- Citations to this Journal ·
- Contact Information ·
- Editorial Board ·
- Editorial Workflow ·
- Free eTOC Alerts ·
- Publication Ethics ·
- Reviewers Acknowledgment ·
- Submit a Manuscript ·
- Subscription Information ·
- Table of Contents
Abstract and Applied Analysis
Volume 2013 (2013), Article ID 143194, 13 pages
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
1College of Mathematics and Computing Science, Changsha University of Science and Technology, Changsha, Hunan 410114, China
2School of Economics and Management, Changsha University of Science and Technology, Hunan 410114, China
3School of Business, Central South University, Changsha, Hunan Province 410083, China
Received 7 January 2013; Accepted 22 February 2013
Academic Editor: Zhichun Yang
Copyright © 2013 Chuangxia Huang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- R. F. Engle, “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation,” Econometrica, vol. 50, no. 4, pp. 987–1007, 1982.
- T. Bollerslev, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, vol. 31, no. 3, pp. 307–327, 1986.
- S. J. Taylor, Modeling Financial Time Series, John Wiley & Sons, Chichester, UK, 1986.
- T. G. Andersen and T. Bollerslev, “Answering the skeptics: yes, standard volatility models do provide accurate forecasts,” International Economic Review, vol. 39, no. 4, pp. 885–905, 1998.
- T. G. Andersen, T. Bollerslev, F. X. Diebold, and H. Ebens, “The distribution of realized stock return volatility,” Journal of Financial Economics, vol. 61, no. 1, pp. 43–76, 2001.
- S. J. Koopman, B. Jungbacker, and E. Hol, “Forecasting daily variability of the S & P 100 stock index using historical, realised and implied volatility measurements,” Journal of Empirical Finance, vol. 12, no. 3, pp. 445–475, 2005.
- Y. Wei and N. T. Yu, “The predicting model of the volatility of China’s stock market and its SPA test,” Journal of Financial Research, vol. 7, pp. 138–150, 2007.
- Y. Wei, “Volatility forecasting models for CSI 300 index futures,” Journal of Management Sciences in China, vol. 2, pp. 66–76, 2010.
- F. Corsi, “A simple approximate long-memory model of realized volatility,” Journal of Financial Econometrics, vol. 7, no. 2, pp. 174–196, 2009.
- U. Müller, M. Dacorogna, R. Dav, O. Pictet, R. Olsen, and J. Ward, “Fractals and intrinsic time-a challenge to econometricians,” in Proceedings of the 39th International AEA Conference on Real Time Econometrics, Luxembourg, October 1993.
- B. Zhang, Y. J. Zhong, and J. F. Tian, “Long memory-driven factors of volatility in Shanghai complex index based on high frequency data,” Statistics & Information Forum, vol. 24, no. 6, pp. 21–26, 2009.
- T. G. Andersen, T. Bollerslev, and F. X. Diebold, “Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility,” The Review of Economics and Statistics, vol. 89, no. 4, pp. 701–720, 2007.
- C. F. Wang, N. Yao, Z. M. Fang, and Y. Li, “An empirical research on jump behavior of realized volatility in Chinese stock markets,” Systems Engineering, vol. 2, pp. 1–6, 2008.
- T. G. Andersen, T. Bollerslev, and X. Huang, “A reduced form framework for modeling volatility of speculative prices based on realized variation measures,” Journal of Econometrics, vol. 160, no. 1, pp. 176–189, 2011.
- X. F. Zhang and J. F. Tian, “A new realized volatility model driven by heterogeneous finance market,” The Journal of Quantitative & Technical Economics, vol. 9, pp. 140–153, 2011.
- N. Jegadeesh and S. Titman, “Returns to buying winners and selling losers: implication for stock market efficient,” Journal of Finance, vol. 48, no. 1, pp. 65–91, 1993.
- M. Grinblatt and B. Han, “Prospect theory, mental accounting, and momentum,” Journal of Financial Economics, vol. 78, no. 2, pp. 311–339, 2005.
- A. Frazzini, “The disposition effect and underreaction to news,” Journal of Finance, vol. 61, no. 4, pp. 2017–2046, 2006.
- P. R. Hansen and A. Lunde, “Consistent ranking of volatility models,” Journal of Econometrics, vol. 131, no. 1-2, pp. 97–121, 2006.
- M. Martens, “Measuring and forecasting S & P 500 index-futures volatility using high-frequency data,” Journal of Futures Markets, vol. 22, no. 6, pp. 497–518, 2002.
- O. E. Barndorff-Nielsen and N. Shephard, “Power and bipower variation with stochastic volatility and jumps,” Journal of Financial Econometrics, vol. 2, no. 1, pp. 1–37, 2004.
- O. E. Barndorff-Nielsen and N. Shephard, “Econometrics of testing for jumps in financial economics using bipower variation,” Journal of Financial Econometrics, vol. 4, no. 1, pp. 1–30, 2006.
- T. G. Andersen, D. Dobrev, and E. Schaumburg, “Jump-robust volatility estimation using nearest neighbor truncation,” Journal of Econometrics, vol. 169, no. 1, pp. 75–93, 2012.