Research Article
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Table 2
Results of parameter estimation for HAR-CJ-M model.
| | (1 day) | (1 week) | (1 month) | | Coefficient | Std. error | Coefficient | Std. error | Coefficient | Std. error |
| | −0.2543*** | 0.0556 | −0.1941*** | 0.0751 | −0.0818 | 0.1006 | | 0.1749*** | 0.0408 | 0.1458*** | 0.0325 | 0.0861*** | 0.0293 | | 0.3592*** | 0.0627 | 0.2585*** | 0.0712 | 0.0931 | 0.0735 | | 0.1773*** | 0.0543 | 0.2125*** | 0.0764 | 0.2995*** | 0.0852 | | 0.0649* | 0.0385 | 0.0125 | 0.0268 | 0.0098 | 0.0182 | | −0.0160 | 0.0418 | 0.0122 | 0.0504 | 0.0741 | 0.0459 | | 0.0676 | 0.0534 | 0.0704 | 0.0750 | −0.0065 | 0.0814 | | 0.0812* | 0.0448 | 0.0291 | 0.0443 | 0.0557 | 0.0399 | | 0.3335*** | 0.0472 | 0.1836*** | 0.0467 | 0.0820* | 0.0447 | | 0.0878*** | 0.0306 | 0.1053*** | 0.0392 | 0.1512*** | 0.0512 | | 0.0512* | 0.0312 | 0.0774* | 0.0398 | 0.1350*** | 0.0447 | | 0.1128*** | 0.0248 | 0.2023*** | 0.0355 | 0.2062*** | 0.0473 | | 0.1108*** | 0.0227 | 0.1868*** | 0.0344 | 0.2070*** | 0.0455 |
| Adj- | 0.6224 | 0.6807 | 0.6270 |
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