Table 1 Models specifications
From: Can the Baidu Index predict realized volatility in the Chinese stock market?
Existing models | New models | |||||
|---|---|---|---|---|---|---|
ID | Model name | Reference | Equation number | ID | Model name | Equation number |
1 | HAR-RV | Corsi (2009) | (13) | 12 | HAR-RV-B | (24) |
2 | HAR-RV-J | Andersen et al. (2007) | (14) | 13 | HAR-RV-J-B | Â |
3 | HAR-CJ | Andersen et al. (2007) | (15) | 14 | HAR-CJ-B | Â |
4 | PS | Patton and Sheppard (2015) | (16) | 15 | PS-B | Â |
5 | PSLev | Patton and Sheppard (2015) | (17) | 16 | PSLev-B | Â |
6 | HAR-RSV | Patton and Sheppard (2015) | (18) | 17 | HAR-RSV-B | Â |
7 | HAR-RSV-J | Chen and Ghysels (2011) | (19) | 18 | HAR-RSV-J-B | Â |
8 | HAR-RV-SJ | Patton and Sheppard (2015) | (20) | 19 | HAR-RV-SJ-B | Â |
9 | HAR-CSJ | Sévi (2014) | (21) | 20 | HAR-CSJ-B |  |
10 | HAR-RV-SJd | Patton and Sheppard (2015) | (22) | 21 | HAR-RV-SJd-B | Â |
11 | HAR-CSJd | Sévi (2014) | (23) | 22 | HAR-CSJd-B |  |