ARFIMAX and ARFIMAX-TARCH realized volatility modeling

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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Year of publication:	2008
Authors:	Degiannakis, Stavros
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 35.2008, 10, p. 1169-1180
Publisher:	Taylor & Francis Journals
Subject:	ARFIMAX \| realized volatility \| TARCH \| volatility forecasting

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005639750