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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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Principais autores: Son-Nan Chen, Pao-Peng Hsu
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-11-01
Serier:Risks
Fag:
asymmetric jumps
business cycle
HAR-RV model
leverage effect
realized volatility
Online adgang:https://www.mdpi.com/2227-9091/13/11/221
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