Stock return volatility based on intraday high frequency data: double-threshold ACD-GARCH model

被引：0
|
作者：
Chung, Sunah [1 ]
Hwang, S. Y. [1 ]
机构：
[1] Sookmyung Womens Univ, Dept Stat, Cheongpa Ro 47 Gil 100, Seoul 04310, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2016年 / 29卷 / 01期
关键词：
ACD; high frequency GARCH; double-threshold ACD-GARCH;
D O I：
10.5351/KJAS.2016.29.1.221
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper investigates volatilities of stock returns based on high frequency data from stock market. Incorporating the price duration as one of the factors in volatility, we employ the autoregressive conditional duration (ACD) model for the price duration in addition to the GARCH model to analyze stock volatilities. A combined ACD-GARCH model is analyzed in which a double-threshold is introduced to accommodate asymmetric features on stock volatilities.
引用
收藏
页码：221 / 230
页数：10
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