Download This PaperARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling
MPRA Paper No. 80465
Journal of Applied Statistics , Vol. 10, No. 35 (2008)
20 Pages Posted: 25 Oct 2018
Date Written: 2008
Abstract
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 indices. ARFIMAX model with time-varying conditional heteroscedasticity is the best performing specification and, at least in the case of DAX30, provides statistically superior next trading day’s realized volatility forecasts.
Keywords: ARFIMAX, Realized Volatility, TARCH, Volatility Forecasting
JEL Classification: C22, C32, C53, G15
Suggested Citation: Suggested Citation
Degiannakis, Stavros Antonios, ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling (2008). MPRA Paper No. 80465, Journal of Applied Statistics , Vol. 10, No. 35 (2008), Available at SSRN: https://ssrn.com/abstract=3259776
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.