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An ACD-ECOGARCH(1,1) Model

Listed author(s):
  • Claudia Czado
  • Stephan Haug
Registered author(s):

    In this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-high-frequency financial data. The innovation process of the ACD model then defines the interarrival times of a compound Poisson process. We use this compound Poisson process as the background driving Lévy process of an exponential continuous time GARCH(1,1) process. The dynamics of the random time transformed log-price process are then described by the latter process. To estimate its parameters we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Finally, the model is fitted for illustrative purpose to General Motors tick-by-tick data of the New York Stock Exchange. Copyright The Author 2009. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail:, Oxford University Press.

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    Article provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.

    Volume (Year): 8 (2010)
    Issue (Month): 3 (Summer)
    Pages: 335-344

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    Handle: RePEc:oup:jfinec:v:8:y:2010:i:3:p:335-344
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