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

Table 3

Estimation results of the HAR-ARV model.

	𝐻=1 (1 day)		𝐻=5 (1 week)		𝐻=22 (1 month)
	Coefficient	Std. error	Coefficient	Std. error	Coefficient	Std. error
𝛼0	0.0021	0.0317	0.1475***	0.0532	0.3474***	0.0708
𝛼𝑑	0.3658***	0.0436	0.2469***	0.0423	0.1420***	0.0267
𝛼𝑤	0.2082***	0.0626	0.2151***	0.0734	0.1813***	0.0618
𝛼𝑚	0.3196***	0.0522	0.3830***	0.0693	0.3889***	0.0773
Adj-𝑅^2	0.5642		0.6088		0.5445