Research Article
Realized Jump Risk and Equity Return in China
Table 8
Forecasting one-month-ahead individual-based portfolio returns using realized jump volatility-based factor model with market-level jump components.
| Size | | Size_RJV | Arr_RJV | Std_RJV | size | Arr | Std | Adj. |
| 1 | 0.083** | 1.237* | −0.581* | −9.260 | −0.170 | 0.033 | 0.033 | 0.047 | 2 | 0.139** | 2.022** | −1.092** | −16.304** | −0.171 | 0.042** | 0.042** | 0.108 | 3 | 0.099* | 1.184 | −0.597 | −12.683 | 0.246 | −0.036* | −0.036* | 0.040 | 4 | 0.088 | 1.649* | −0.728 | −7.980 | −0.272 | −0.009 | −0.009 | 0.057 | 5 | 0.088 | 1.389 | −0.620 | −7.020 | 0.112 | −0.086 | −0.086 | 0.015 |
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