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

Table 6

Performances of the rolling window prediction of the SH composite index.

Prediction no.	1	2	3	4	5	6	7	8	9	10	11
Dates	Feb. 7	Mar. 4	Apr. 3	May 7	Jun. 5	Jul. 3	Aug. 6	Sep. 9	Oct. 9	Nov. 3	Dec. 3
Times	09 : 35	09 : 35	14 : 00	09 : 35	09 : 35	09 : 35	09 : 35	09 : 50	11 : 00	14 : 05	13 : 20
In 3 days	0.7630	0.7665	0.7715	0.7605	0.7855	0.7440	0.7635	0.7640	0.7415	0.7605	0.7575
In 7 days	0.9700	0.9730	0.9710	0.9645	0.9705	0.9620	0.9715	0.9640	0.9575	0.9645	0.9625

Note. The rows named “Dates” and “Times” in the table are the identified dates and times of the first jump on each prediction window, and the rows named “In 3 days” and “In 7 days” are the results of the cumulative frequencies of the first jump occurring within 3 days and 7 days over each prediction window.