Research Article
Modeling Financial Intraday Jump Tail Contagion with High Frequency Data Using Mutually Exciting Hawkes Process
Table 7
Performances of the rolling window prediction of the SZ component index.
| Prediction no. | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 |
| Dates | Feb. 7 | Mar. 4 | Apr. 3 | May 5 | Jun. 4 | Jul. 9 | Aug. 5 | Sep. 9 | Oct. 9 | Nov. 3 | Dec. 3 | Times | 09 : 35 | 09 : 35 | 14 : 00 | 09 : 50 | 09 : 35 | 14 : 05 | 10 : 20 | 09 : 50 | 11 : 00 | 14 : 05 | 13 : 20 | In 3 days | 0.7630 | 0.7665 | 0.7550 | 0.7655 | 0.7500 | 0.7525 | 0.7635 | 0.7565 | 0.7675 | 0.7460 | 0.7840 | In 7 days | 0.9650 | 0.9660 | 0.9615 | 0.9630 | 0.9620 | 0.9590 | 0.9635 | 0.9600 | 0.9715 | 0.9595 | 0.9675 |
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Note. The meaning of the results in the table is the same as the ones in Table 6. |