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ARFIMAX and ARFIMAX-TARCH realized volatility modeling

Listed author(s):
  • Stavros Degiannakis

ARFIMAX 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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Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 35 (2008)
Issue (Month): 10 ()
Pages: 1169-1180

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Handle: RePEc:taf:japsta:v:35:y:2008:i:10:p:1169-1180
DOI: 10.1080/02664760802271017
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