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

Table 5

Frequencies of the second extreme jump occurrence on following days.

	Day 1	Day 2	Day 3	Day 4	Day 5	Day 6	Day 7	Day 8	Day 9	Above 9 days
SH	0.0865	0.1775	0.1775	0.1420	0.1245	0.0830	0.0535	0.0520	0.0365	0.0670
SZ	0.0990	0.1635	0.1815	0.1520	0.1120	0.0900	0.0620	0.0465	0.0245	0.0690

Note. The values in the table are frequencies of the second extreme jump occurring on the following days. For instance, for the SH composite index, 0.0865 is the frequency of the second extreme jump occurring on the first day, and 0.1775 is the frequency of the second extreme jump occurring on the second day over the one-month prediction window.