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

Table 1

Descriptive statistics for CSI 300.

	Mean	Std. dev.	Skewness	Kurtosis	Jarque-Bera	ADF-𝑡 statistic
ARVt	4.3471	6.8081	5.9174	49.075	113054***	−10.710***
𝐶𝑡	3.3412	4.3445	5.9456	65.248	200640***	−7.7154***
𝐽𝑡	1.0058	4.8285	9.5878	109.80	588176***	−16.145***
𝑔^𝑑𝑡𝑑𝑝^𝑑𝑡	0.8629	1.2545	1.8612	7.5625	1726.4***	−16.555***
𝑔^𝑑𝑡𝑑𝑛^𝑑𝑡	−0.9552	1.5382	−2.1191	7.9438	2111.3***	−17.202***
𝑔^𝑤𝑡𝑑𝑝^𝑤𝑡	2.3478	3.3012	1.4196	4.1784	472.08***	−6.4500***
𝑔^𝑤𝑡𝑑𝑛^𝑤𝑡	−2.8430	4.3645	−1.9078	6.5785	1367.1***	−7.0652***
𝑔^𝑚𝑡𝑑𝑝^𝑚𝑡	5.7086	8.7686	1.4304	3.7846	439.66***	−3.0898**
𝑔^𝑚𝑡𝑑𝑛^𝑚𝑡	−7.9652	12.647	−1.8924	5.9452	1149.0***	−2.8197*

∗∗∗, ^**, and * in the table mean obvious at significance level of 1%, 5%, and 10%, respectively, same for the following table.