Asymmetry effect and jump effect on stock volatility -- Modeling and prediction based on GARCH-MIDAS
DOI:
https://doi.org/10.54691/bcpbm.v30i.2500Keywords:
GRACH-MIDAS, Asymmetric effect, Jump effect.Abstract
Based on GARCH-MIDAS model and its five extend models, this paper studies the effect of asymmetric effect and jump effect on stock volatility. According to research on NASDAQ, we find that asymmetric effect and jump effect can be beneficial to in-sample fitting and out-of-sample forecasting, especially short-term asymmetric effect and long-term jump effect. Regulators and investors can use this model to forecast stock volatility.
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