ARFIMAX and ARFIMAX-TARCH realized volatility modeling

Stavros Degiannakis

Journal of Applied Statistics, 2008, vol. 35, issue 10, 1169-1180

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 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.

Keywords: ARFIMAX; realized volatility; TARCH; volatility forecasting (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (26)

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Working Paper: ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling (2008)
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DOI: 10.1080/02664760802271017

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