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

Note. The meaning of the results in the table is the same as the ones in Table 6.