Research on the Forecasting Performance of the HAR-Type Model Based on True and False Jumps

Since the jump of an asset price has a strong effect on the estimate and forecast volatility, it has received widespread attention. Following HAR-CJ model introduced by Andersen et al, lots of works focus on this problem. In this paper, through a threshold technique, we distinguish the true and false jumps. Then we introduce two models, HAR-CTFJ model and LHAR-CTFJ model. Our result shows that the effect from the true jumps is significant while that from the false jumps is not. Moreover, the SPA test shows that our models (i.e. HAR-CTJ and LHAR-CTJ) are better than the classical HAR-CJ model in the prediction of volatility.