A Study on Jumps and Leverage Effect of China's Stock Markets with Realized Range-based Variance
将已实现极差方差分解为连续和跳跃部分，构建杠杆异质自回归模型，发现中国股市存在显著跳跃和杠杆效应，且跳跃对短期波动影响更大。
Based on the continuous - time jump diffusion theory,the paper decomposes the realized rangebased variance into continuous and jump components,constructs the leverage heterogeneous autoregressive model including continuous and jump components as explanatory variables,and empirically studies the jumps and leverage effect of China's stock markets.The results show that China's stock markets have significant jumps, that there is leverage effect in China's stock markets,and that LHAR - RRV - CJ model has better predictive power.It is found that the jumps have a significant and positive impact on China's stock market volatility,especially having greater influence on the short - term volatility and less influence on the long - term volatility.Moreover, leverage effect has a greater impact on the short - term stock market volatility,but not impacting on the long - term volatility.