Back to Search
Start Over
Realised volatility prediction of high-frequency data with jumps based on machine learning.
- Source :
-
Connection Science . Dec2023, Vol. 35 Issue 1, p1-16. 16p. - Publication Year :
- 2023
-
Abstract
- Asset price jumps are very common in financial markets, and they are essential to accurately predict volatility. This article focuses on 50 randomly selected stocks from the Chinese stock market, utilising high-frequency data to construct two jump models, the heterogeneous autoregressive quarticity jump model (HARQ-J) and the full heterogeneous autoregressive quarticity jump model (HARQ-F-J), which take into account jump variables based on existing models (HARQ and HARQ-F). To further enhance the accuracy of our volatility forecasts, the study combines the newly constructed models with the machine learning (ML) to form a hybrid model. Finally, the empirical research shows that the new hybrid model performs better than existing traditional prediction methods. In particular, the long- and short-term memory (LSTM) function is significantly better than other machine learning functions. Among all the LSTM models tested by the model confidence set (MCS), the HARQ-F-J-LSTM model has the highest prediction accuracy, followed by the HARQ-J-LSTM model. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09540091
- Volume :
- 35
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Connection Science
- Publication Type :
- Academic Journal
- Accession number :
- 174546662
- Full Text :
- https://doi.org/10.1080/09540091.2023.2210265