Research Article
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- statistic |
|
ARVt | 4.3471 | 6.8081 | 5.9174 | 49.075 | 113054*** | −10.710*** | | 3.3412 | 4.3445 | 5.9456 | 65.248 | 200640*** | −7.7154*** | | 1.0058 | 4.8285 | 9.5878 | 109.80 | 588176*** | −16.145*** | | 0.8629 | 1.2545 | 1.8612 | 7.5625 | 1726.4*** | −16.555*** | | −0.9552 | 1.5382 | −2.1191 | 7.9438 | 2111.3*** | −17.202*** | | 2.3478 | 3.3012 | 1.4196 | 4.1784 | 472.08*** | −6.4500*** | | −2.8430 | 4.3645 | −1.9078 | 6.5785 | 1367.1*** | −7.0652*** | | 5.7086 | 8.7686 | 1.4304 | 3.7846 | 439.66*** | −3.0898** | | −7.9652 | 12.647 | −1.8924 | 5.9452 | 1149.0*** | −2.8197* |
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, **, and * in the table mean obvious at significance level of 1%, 5%, and 10%, respectively, same for the following table.
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