Realized Jump Risk and Equity Return in China

Table 4

Forecasting one-month-ahead index returns using realized jump risk factor model.

Variables	𝐶	𝑃size	𝑃Arr	𝑃Std	Adj.𝑅^2
Coefficients	0.027	0.278**	−0.055	−18.695***	0.080

Note: The numbers in the table are coefficients, and “*”, “**”, “***” represents 10%, 5% and 1% significance level, same for the following tables.