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 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

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Year of publication:	2018
Authors:	Degiannakis, Stavros Antonios
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Stochastischer Prozess \| Stochastic process \| Schätzung \| Estimation

Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Applied Statistics , Vol. 10, No. 35 (2008) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2008 erstellt
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

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