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http://dx.doi.org/10.5351/KJAS.2016.29.1.221

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

Chung, Sunah (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.1, 2016 , pp. 221-230 More about this Journal
Abstract
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.
Keywords
ACD; high frequency GARCH; double-threshold ACD-GARCH;
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