Multifractal Volatility Modeling of Stock Market Considering Jumps and Leverage Effects

doi:10.12068/j.issn.1005-3026.2020.04.024

Abstract

Abstract: Considering the jumping behaviors and leverage effects in the stock market， a new multifractal volatility model was constructed based on the HAR model. Taking 5min high-frequency data of Shanghai composite index and Shenzhen component index as the research samples and using the test method of “model confidence set”(MCS)， the prediction ability of each volatility model to China’s stock market in the two sub-samples of high volatility and low volatility was empirically compared. The results showed that the proposed multifractal volatility measure index and its measurement model have a good predictive function， especially in the period of high(extreme) volatility. The results are expected to provide new ideas and methods for the management and control of financial risks， in particular extreme risks.

Key words: multifractal volatility, realized volatility, jump, leverage effect, high-frequency volatility model

CLC Number:

F830.91

ZHANG Tong-hui， YUAN Ying， ZHUANG Xin-tian. Multifractal Volatility Modeling of Stock Market Considering Jumps and Leverage Effects[J]. Journal of Northeastern University Natural Science, 2020, 41(4): 594-598.

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