Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

Table 4

Estimation results of the HAR-CJ model.

	𝐻=1 (1day)		𝐻=5 (1week)		𝐻=22 (1month)
	Coefficient	Std. error	Coefficient	Std. error	Coefficient	Std. error
𝛽0	0.1540***	0.0303	0.2986***	0.0490	0.4776***	0.0624
𝛽𝑐𝑑	0.3172***	0.0381	0.2438***	0.0345	0.1393***	0.0298
𝛽𝑐𝑤	0.3975***	0.0617	0.3352***	0.0683	0.2096***	0.0778
𝛽𝑐𝑚	0.1405**	0.0558	0.2079***	0.0784	0.3037***	0.0903
𝛽𝑗𝑑	0.1115***	0.0411	0.0416	0.0305	0.0256	0.0211
𝛽𝑗𝑤	−0.0446	0.0390	−0.0097	0.0570	0.0725	0.0545
𝛽𝑗𝑚	0.1402***	0.0529	0.1767**	0.0762	0.0994	0.0813
Adj-𝑅^2	0.5868		0.6297		0.5495