This study extends the HAR-RV model to detailedly compare the role of leverage effects, jumps, and overnight information in predicting the realized volatilities (RV) of 21 international equity indices. First, the in-sample results suggest that these three factors have significantly negative impact for most of international equity markets. Second, the out-of-sample predictive results show that leverage effects and overnight information have stronger predictive power than jumps. Furthermore, we provide convincing results that the use of these three factors simultaneously can produce the best predictions for almost international equity markets at all forecast horizons. Finally, the empirical results from alternative prediction window, Direction-of-Change test, out-of-sample R² test, alternative loss functions, and alternative volatility estimator confirm our results are robust.

这项研究扩展了HAR-RV模型，以详细比较杠杆效应，跳跃和隔夜信息在预测21个国际股票指数的实际波动率（RV）中的作用。首先，样本中的结果表明这三个因素对大多数国际股票市场产生了显着的负面影响。其次，样本外的预测结果表明，杠杆效应和隔夜信息比跳动具有更强的预测能力。此外，我们提供令人信服的结果，即同时使用这三个因素可以在所有预测范围内为几乎国际股票市场提供最佳预测。最后，来自替代预测窗口，变化方向检验，样本外R ²的经验结果 检验，替代损失函数和替代波动率估算器证实了我们的结果可靠。