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

Document Type : Original Article

Authors
mohsen rajab boloukat 1
ali baghani 2
Ali Najafi Moghadam 3
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
3 Assistant Professor, Department of Accounting, Roudehen Branch, Islamic Azad University, Roudehen, Iran
10.30495/jik.0621.23471
Abstract
Modeling and forecasting the realized volatility is very important. Realized volatility recognition studies have been significantly developed in recent years. The present study, using daily and intraday cojump diagnosis methods, and estimating the ten-minute stock price returns of companies listed in the index of 30 large companies of Tehran Stock Exchange (TEFIX30) during the years 1390(2011) To1394 (2015) (test sample) and the years 1395(2015-16) to 1398(2017-18) (out of sample) to estimate the stock realized volatility through the HAR-RV model and By developing the model, it has tested the effect of the size and intensity of stock price cojumps in predicting index volatility. The test results showed that the development of HAR-RV and HAR-RV-CJ models through the HAR-CCJ components not only did not improve the predictive power of the models, but also, it has moderated the predictive performance of the base models to a small extent. On the other hand, due to the emotional behaviors among investors, the result can indicate the behavioral biases of investors in the market.
Keywords
Price Cojumps
Forecasting
Hawkes process
Realized Volatility

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