Modeling Financial Intraday Jump Tail Contagion with High Frequency Data Using Mutually Exciting Hawkes Process

Table 4

Frequencies of the first extreme jump occurrence on following days.

	Day 1	Day 2	Day 3	Day 4	Day 5	Day 6	Day 7	Above 7 days
SH	0.3790	0.2405	0.1350	0.0865	0.0555	0.0365	0.0300	0.0370
SZ	0.3740	0.2320	0.1490	0.0935	0.0605	0.0410	0.0180	0.0320

Note. The values in the table are the frequencies of the fist extreme jump occurring on the following days. For instance, for the SH composite index, 0.3790 is the frequency of the first extreme jump occurring on the first day, and 0.2405 is the frequency of the first extreme jump occurring on the second day over the one-month prediction window.