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The Business Cycle’s Impact on Volatility Forecasting: Recapturing Intrinsic Jump Components

This study investigates the leverage effect and realized volatility (RV) of stocks in the presence of asymmetric jumps across economic expansions and contractions. We extend the heterogeneous autoregressive-realized volatility (HAR-RV) model by incorporating a two-period Markov regime-switching mode...

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Wedi'i Gadw mewn:
Prif Awduron: Son-Nan Chen, Pao-Peng Hsu
Fformat: Artigo
Iaith:Inglês
Cyhoeddwyd: MDPI AG 2025-11-01
Cyfres:Risks
Pynciau:
asymmetric jumps
business cycle
HAR-RV model
leverage effect
realized volatility
Mynediad Ar-lein:https://www.mdpi.com/2227-9091/13/11/221
Tagiau: Ychwanegu Tag
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