ARFIMAX 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

See all articles by Stavros Antonios Degiannakis

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

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

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

Stavros Antonios Degiannakis (Contact Author)

Department of Economic and Regional Development, Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

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