ARFIMAX and ARFIMAX-TARCH realized volatility modeling
AbstractARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility clustering and asymmetry characterize the logarithmic realized volatility of both the indices. The ARFIMAX model with time-varying conditional heteroskedasticity is the best performing specification and, at least in the case of DAX30, provides statistically superior next trading day's realized volatility forecasts.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 35 (2008)
Issue (Month): 10 ()
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