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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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Gardado en:
Principais autores: Son-Nan Chen, Pao-Peng Hsu
Formato: Artigo
Idioma:Inglês
Publicado: MDPI AG 2025-11-01
Series:Risks
Assuntos:
asymmetric jumps
business cycle
HAR-RV model
leverage effect
realized volatility
Acceso en liña:https://www.mdpi.com/2227-9091/13/11/221
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