The effect of size and intensity of price jumps on forecasting index volatility in Tehran Stock Exchange

Document Type : Original Article

Authors
mohsen rajab boloukat 1
ali baghani 2
Ali Najafi Moghadam 2
fatemeh sarraf 2
norouz noorolahzadeh 2
1 PhD Student of Financial Management, South Tehran Branch, Islamic Azad University, Tehran, Iran
2 Assistant Professor, Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
Abstract
It is very important to distinguish how the volatility in the return of assets occur. For this reason, in recent years, realized volatility and frequencies of daily volatility recognition studies have been developed. This study uses stock prices of 30 big companies of Tehran Stock Exchange during the years 1390 (2011) to 1394 (2016) and calculates the realized stock volatility during trading days using the HAR-CJ model to examine the effect of size and intensity of price jumps in predicting index volatility. The results showed that the development of HAR-CJ and HAR-RV-CJ models using the size and intensity of jump did not have a significant effect on improving the index volatility prediction but, to a small extent, the model prediction performance Adjusts for index volatility. Also, using intraday jumps instead of daily jumps, does not improve the performance of the prediction model.
Keywords
Jump
forecasting
realized volatility
Hawkes process
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