This article belongs to the special issue "Problems of Application Analysis in Knowledge Management and Science-Mathematics-Education".
Abstract
This paper uses the downside realized semi variance to measure the downside risk and then the HAR-DR, HAR-DR-V and HAR-DR-DV models on the basis of the HAR-RV model are built. Finally, by comparing the three models’ prediction ability for downside risk in the stock spot market and futures market, we test whether the trading volume and downside trading volume of the two markets can be used to predict the downside risk. And we also study the differences under different samples and different models. The results indicate that trading volume and downside trading volume have different prediction effects for the downside risk in different periods. The trading volume and downside trading volume exhibit much forecasting power in the futures market. However, they show little forecasting power in the spot market.
License
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Article Type: Research Article
EURASIA J Math Sci Tech Ed, Volume 13, Issue 12, December 2017, 8367-8382
https://doi.org/10.12973/ejmste/78634
Publication date: 25 Nov 2017
Article Views: 2518
Article Downloads: 935
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