统计与管理学院2015年学术报告第29期
【主 题】 Volatility forecasting: the role of lunch-break returns, overnight returns, trading volume and leverage effects
【报告人】 汪孝训 博士
上海交通大学
【时 间】 2015年7月4日（星期六）14:00－15:00
【地 点】 上海财经大学统计与管理学院大楼1208室
【语 言】 英文
【摘 要】 This article extends the HAR-RV model to forecast volatility by including lunch-break returns, overnight returns, trading volume and leverage effects in the Chinese stock market. The findings show the significant role of additional leverage effects, captured by negative lunch-break returns and negative overnight returns, in volatility forecasting in addition to the trading volume's impact. Moreover, there is a strong significance of usual leverage effects which even turn to be persistent for SHCI. Surprisingly, squared lunch-break returns, measured as additional volatilities during the lunch-break period, have a large long-run impact on volatility for SHCI but not for SZCI. These new empirical evidences are robust to alternative realized measurements and unconditional variance and, in particular, they confirm the impact of intermittent trading captured by the returns and volatilities outside the trading hours. Overall, our model performs much better than the benchmark HAR-RV model when various forecasting horizons are considered, and our findings have important implications for investors and policy makers.
