Realized Jump Risk and Equity Return in China

Table 11

Forecasting one-month-ahead index returns using realized jump volatility-based factor model with cross-term of its jump components.

Index	𝐶	𝑃size	𝑃Arr	𝑃Std	Std∗Arr	Size∗Arr	Adj.𝑅^2
	0.015	0.691	−0.042	−8.972	−56.573	−0.162	0.058
000002	𝐶	𝑃size	𝑃Arr	𝑃Std			Adj.𝑅^2
	0.027	0.278**	−0.055	−18.695***			0.080