Degiannakis, Stavros (2008): ARFIMAX and ARFIMAXTARCH Realized Volatility Modeling. Published in: Journal of Applied Statistics , Vol. 10, No. 35 (2008): pp. 11691180.

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Abstract
ARFIMAX models are applied in estimating the intraday realized volatility of the CAC40 and DAX30 indices. Volatility clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with timevarying 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.
Item Type:  MPRA Paper 

Original Title:  ARFIMAX and ARFIMAXTARCH Realized Volatility Modeling 
Language:  English 
Keywords:  ARFIMAX, Realized Volatility, TARCH, Volatility Forecasting. 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods G  Financial Economics > G1  General Financial Markets > G15  International Financial Markets 
Item ID:  80465 
Depositing User:  Dr. STAVROS DEGIANNAKIS 
Date Deposited:  01 Aug 2017 05:33 
Last Modified:  01 Aug 2017 05:33 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/80465 