k -Factor GARMA models for intraday volatility forecasting

This paper studies the ability of the k -factor GARMA processes to model and forecast the volatility of an intraday financial time series. Forecasting results from the k -factor GARMA model are obtained and compared with those produced by a conventional SARIMA model.

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Year of publication:	2003
Authors:	Bisaglia, Luisa ; Bordignon, Silvano ; Lisi, Francesco
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 10.2003, 4, p. 251-254
Publisher:	Taylor & Francis Journals

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

Persistent link: https://www.econbiz.de/10005467990