Research Article
Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps
Table 2
The estimation results of the SV, SV-RV, and SV-CJ model.
| Model | Parameter | Mean | Standard deviation | MC error | 2.5% quantile | Median | 97.5% quantile | DIC |
| SV | | 0.0377 | 0.0178 | 0.0011 | 0.0136 | 0.0347 | 0.0798 | 4961.0 | | 0.9694 | 0.0141 | 0.0009 | 0.9356 | 0.9860 | 0.9894 |
| SV-RV | | 0.2053 | 0.0594 | 0.0037 | 0.1085 | 0.1982 | 0.3381 | 4951.0 | | 0.6063 | 0.0886 | 0.0057 | 0.4152 | 0.6175 | 0.7541 | | 0.2870 | 0.0587 | 0.0037 | 0.1855 | 0.2823 | 0.4132 |
| SV-CJ | | 0.2927 | 0.06966 | 0.0046 | 0.1665 | 0.2865 | 0.4581 | 4938.0 | | 0.5206 | 0.08546 | 0.0059 | 0.3548 | 0.5149 | 0.7192 | | 0.3566 | 0.05807 | 0.0038 | 0.2208 | 0.3623 | 0.4602 | | 0.0389 | 0.04991 | 0.0030 | ā0.06129 | 0.03955 | 0.1409 |
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