ARFIMAX and ARFIMAX-TARCH realized volatility modeling

Stavros Degiannakis

    Research output: Contribution to journalArticlepeer-review


    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.
    Original languageEnglish
    Pages (from-to)1169-1180
    Number of pages12
    JournalJournal of Applied Statistics
    Issue number10
    Publication statusPublished - 2008


    Dive into the research topics of 'ARFIMAX and ARFIMAX-TARCH realized volatility modeling'. Together they form a unique fingerprint.

    Cite this