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:	2008
Authors:	Degiannakis, Stavros

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Degiannakis, Stavros (2008): ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling. Published in: Journal of Applied Statistics , Vol. 10, No. 35 (2008): pp. 1169-1180.
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets
Source:	BASE

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