Financial Innovation

Table 3 The adjusted R² of existing models and new models

From: Can the Baidu Index predict realized volatility in the Chinese stock market?

	Short-term			Medium-term						Long-term
	h = 1			h = 5			h = 10			h = 22			h = 44			h = 66
	Before	After	Delta	Before	After	Delta	Before	After	Delta	Before	After	Delta	Before	After	Delta	Before	After	Delta
HAR-RV-type	0.317	0.331	0.014	0.478	0.509	0.030	0.491	0.535	0.044	0.428	0.497	0.069	0.266	0.394	0.128	0.188	0.357	0.169
HAR-RV-J-type	0.325	0.336	0.011	0.512	0.534	0.022	0.518	0.553	0.035	0.455	0.513	0.058	0.285	0.401	0.116	0.198	0.358	0.160
HAR-CJ-type	0.346	0.354	0.008	0.539	0.556	0.018	0.551	0.580	0.029	0.494	0.543	0.049	0.302	0.412	0.111	0.203	0.361	0.158
PS-type	0.321	0.333	0.012	0.495	0.521	0.026	0.502	0.541	0.039	0.442	0.505	0.063	0.276	0.397	0.121	0.193	0.357	0.164
PSLev-type	0.324	0.335	0.011	0.509	0.533	0.023	0.514	0.551	0.037	0.452	0.512	0.060	0.284	0.401	0.118	0.197	0.359	0.161
HAR-RSV-type	0.339	0.348	0.009	0.519	0.539	0.020	0.531	0.564	0.033	0.477	0.530	0.053	0.291	0.405	0.114	0.198	0.360	0.162
HAR-RSV-J-type	0.340	0.349	0.008	0.531	0.549	0.018	0.542	0.571	0.030	0.485	0.535	0.050	0.297	0.407	0.110	0.201	0.360	0.159
HAR-RV-SJ-type	0.325	0.336	0.011	0.513	0.534	0.022	0.517	0.552	0.035	0.455	0.513	0.057	0.285	0.401	0.115	0.198	0.358	0.160
HAR-CSJ-type	0.347	0.355	0.008	0.541	0.557	0.017	0.553	0.580	0.027	0.497	0.544	0.047	0.303	0.412	0.109	0.205	0.362	0.157
HAR-RV-SJd-type	0.326	0.337	0.011	0.512	0.534	0.022	0.517	0.552	0.035	0.455	0.513	0.058	0.285	0.401	0.116	0.197	0.358	0.160
HAR-CSJd-type	0.356	0.361	0.006	0.544	0.559	0.014	0.555	0.580	0.025	0.499	0.543	0.045	0.308	0.412	0.104	0.208	0.361	0.153

This table presents the adjusted R² of existing models (1) to (11) in the column “Before”, new models (12) to (22) with investor attention in the column “After” and difference in the column “Delta”. The horizon of 1, 5, 10, 22, 44, 66 days cover the short-term, medium-term and long-term

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