Abstract
The asymmetry of volatility is an important feature of asset price changes, and studying the asymmetry of cojumps on volatility prediction can provide a reference for systemic risk monitoring. Based on high-frequency data of CSI 300 stock index and futures index, SSE Composite Index, and industry index, the influence of cojumps on volatility in different directions is analyzed by HAR model. It is found that the explanation of volatility by cojumps still has leverage effect, and the symbolic cojumps covariance can obviously improve the prediction ability of the model; influenced by policy reform and market changes, the prediction of cojumps on volatility between the CSI 300 stock index and futures index shows a significant interval reversal effect; not only is the prediction of systematic cojumps on volatility of each industry index related to the periodicity of the industry, but also it shows different rules under the influence of policy reform.
Highlights
Asset price volatility has been a core variable in financial fields such as risk management, investment, and pricing
Has the literature failed to consider the influence of leverage effect when analyzing the prediction of cojumps on volatility, and the research objects are mostly limited to some parallel markets, and there is no in-depth analysis of the systematic factors involving the composite index and individual stocks, which to a certain extent affect the accuracy and reliability of the relevant conclusions
Based on the nonparametric joint test and Heterogeneous Autoregressive (HAR) forecasting model, this paper investigates the asymmetry of macro information shocks on volatility forecasting from the perspective of cojumps, using the high-frequency returns of the CSI 300 stock index and futures index, as well as the SSE Composite Index and industry index, and applies it to the forecasting of systematic risk. e main conclusions are as follows
Summary
Asset price volatility has been a core variable in financial fields such as risk management, investment, and pricing. As most stocks usually show the direction characteristics of “rising and falling with the same price” when fluctuating with the market, further research on the asymmetry of systemic jumps to volatility prediction has important reference value for studying the time-varying characteristics of systemic risk. Has the literature failed to consider the influence of leverage effect when analyzing the prediction of cojumps on volatility, and the research objects are mostly limited to some parallel markets (such as stock index and futures index, Shanghai Composite Index, Shenzhen Composite Index, etc.), and there is no in-depth analysis of the systematic factors involving the composite index and individual stocks (or local index), which to a certain extent affect the accuracy and reliability of the relevant conclusions. Ird, under the framework of asymmetry in volatility, we further examine the impact of coexistence with systemic risk characteristics on future volatility and analyze the risk characteristics and cyclical attributes of various industries in the market
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