Forecasting the realized volatility: the role of jumps |
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| Authors: | Zhichao Liu Feng Ma Zean Xia |
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| Institution: | 1. School of Economics &2. Management, Southwest Jiaotong University, Chengdu, China;3. Laboratory for Financial Intelligence and Financial Engineering, Southwestern University of Finance and Economics, Chengdu, China |
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| Abstract: | This article investigates the role of jump components dependent on the ABD-LM jump test in forecasting volatility. Our out-of-sample forecasting results show that compared with the ABD-LM jump component, its decomposition forms based on signed returns can significantly improve the models’ forecasting performance and our findings have important implications for investors and policymakers. |
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| Keywords: | Realized volatility HAR-RV model ABD-LM jump test MCS |
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