Author(s)

Ruidong Wang

Corresponding Author

Ruidong Wang

ABSTRACT

The research on stock market volatility has been a hot spot in the financial field, in recent years, with the development of computer technology and the reduction of the cost of information storage, high-frequency data provide a new direction for studying volatility. Based on the high-frequency data of Shanghai securities 50 index, this paper uses the modified realized volatility to replace the real volatility, and uses HAR-RV-CJ model and the extended HAR-RV-CJ model to study the effect of jump on the volatility of Shanghai securities Index. The empirical evidence shows that the extended HAR-RV-CJ model has better ability to explain the volatility; There are many medium-term investors in China’s stock market, and the market is immature and needs to be improved; The existence of jump component has positive effect on the volatility of Shanghai securities 50 Index.

KEYWORDS

Modified realized volatility, HAR Model；Jump volatility