Realized Jump Risk and Equity Return in China

Table 8

Forecasting one-month-ahead individual-based portfolio returns using realized jump volatility-based factor model with market-level jump components.

Size	𝐶	Size_RJV	Arr_RJV	Std_RJV	𝑃size	𝑃Arr	𝑃Std	Adj.𝑅^2
1	0.083**	1.237*	−0.581*	−9.260	−0.170	0.033	0.033	0.047
2	0.139**	2.022**	−1.092**	−16.304**	−0.171	0.042**	0.042**	0.108
3	0.099*	1.184	−0.597	−12.683	0.246	−0.036*	−0.036*	0.040
4	0.088	1.649*	−0.728	−7.980	−0.272	−0.009	−0.009	0.057
5	0.088	1.389	−0.620	−7.020	0.112	−0.086	−0.086	0.015