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ARFIMAX and ARFIMAX-TARCH realized volatility modeling

Research output: Contribution to journalArticlepeer-review

  • Stavros Degiannakis
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
Volume35
Issue number10
DOIs
Publication statusPublished - 2008

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