ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling

Stavros Degiannakis

MPRA Paper from University Library of Munich, Germany

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 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.

Keywords: ARFIMAX; Realized Volatility; TARCH; Volatility Forecasting. (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 G15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (22)

Published in Journal of Applied Statistics 35.10(2008): pp. 1169-1180

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Journal Article: ARFIMAX and ARFIMAX-TARCH realized volatility modeling (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80465

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