Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps

Table 2

The estimation results of the SV, SV-RV, and SV-CJ model.

Model	Parameter	Mean	Standard deviation	MC error	2.5% quantile	Median	97.5% quantile	DIC
SV	𝛼	0.0377	0.0178	0.0011	0.0136	0.0347	0.0798	4961.0
	𝛽	0.9694	0.0141	0.0009	0.9356	0.9860	0.9894
SV-RV	𝛼	0.2053	0.0594	0.0037	0.1085	0.1982	0.3381	4951.0
	𝛽	0.6063	0.0886	0.0057	0.4152	0.6175	0.7541
	𝛾	0.2870	0.0587	0.0037	0.1855	0.2823	0.4132
SV-CJ	𝛼	0.2927	0.06966	0.0046	0.1665	0.2865	0.4581	4938.0
	𝛽	0.5206	0.08546	0.0059	0.3548	0.5149	0.7192
	𝜆	0.3566	0.05807	0.0038	0.2208	0.3623	0.4602
	𝜃	0.0389	0.04991	0.0030	−0.06129	0.03955	0.1409