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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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Main Authors: Son-Nan Chen, Pao-Peng Hsu
Format: Artigo
Language:Inglês
Published: MDPI AG 2025-11-01
Series:Risks
Subjects:
asymmetric jumps
business cycle
HAR-RV model
leverage effect
realized volatility
Online Access:https://www.mdpi.com/2227-9091/13/11/221
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