Knowledge (XXG)

Autoregressive conditional duration

Source 📝

523: 247: 518:{\displaystyle \theta _{t}=\alpha _{0}+\alpha _{1}\tau _{t-1}+\cdots +\alpha _{q}\tau _{t-q}+\beta _{1}\theta _{t-1}+\cdots +\beta _{p}\theta _{t-p}=\alpha _{0}+\sum _{i=1}^{q}\alpha _{i}\tau _{t-i}+\sum _{i=1}^{p}\beta _{i}\theta _{t-i}} 135: 207: 564: 597: 630: 240: 79: 659: 162: 28:, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to 698: 84: 167: 673:
and J.R. Russell. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data",
530: 569: 602: 693: 212: 51: 37: 635: 140: 670: 687: 17: 81:
denote the duration (the waiting time between consecutive trades) and assume that
164:
are independent and identically distributed random variables, positive and with
680:
N. Hautsch. "Modelling Irregularly Spaced Financial Data", Springer, 2004.
33: 29: 40:) waiting times between two consecutive trades vary at random. 638: 605: 572: 533: 250: 215: 170: 143: 87: 54: 653: 624: 591: 558: 517: 234: 201: 156: 129: 73: 8: 130:{\displaystyle ~\tau _{t}=\theta _{t}z_{t}~} 202:{\displaystyle \operatorname {E} (z_{t})=1} 637: 610: 604: 577: 571: 541: 532: 503: 493: 483: 472: 453: 443: 433: 422: 409: 390: 380: 355: 345: 326: 316: 291: 281: 268: 255: 249: 223: 214: 184: 169: 148: 142: 118: 108: 95: 86: 62: 53: 7: 36:(a common trading mechanism in many 22:autoregressive conditional duration 559:{\displaystyle ~\alpha _{0}>0~} 171: 14: 592:{\displaystyle \alpha _{i}\geq 0} 625:{\displaystyle \beta _{i}\geq 0} 190: 177: 1: 235:{\displaystyle ~\theta _{t}~} 74:{\displaystyle ~\tau _{t}~} 715: 32:. In a continuous double 654:{\displaystyle ~i>0} 655: 626: 593: 560: 519: 488: 438: 236: 203: 158: 131: 75: 677:, 66:1127-1162, 1998. 656: 627: 594: 561: 520: 468: 418: 237: 209:and where the series 204: 159: 157:{\displaystyle z_{t}} 132: 76: 699:Mathematical finance 636: 603: 570: 531: 248: 213: 168: 141: 85: 52: 651: 622: 589: 556: 515: 232: 199: 154: 127: 71: 641: 555: 536: 231: 218: 126: 90: 70: 57: 38:financial markets 706: 660: 658: 657: 652: 639: 631: 629: 628: 623: 615: 614: 598: 596: 595: 590: 582: 581: 565: 563: 562: 557: 553: 546: 545: 534: 524: 522: 521: 516: 514: 513: 498: 497: 487: 482: 464: 463: 448: 447: 437: 432: 414: 413: 401: 400: 385: 384: 366: 365: 350: 349: 337: 336: 321: 320: 302: 301: 286: 285: 273: 272: 260: 259: 241: 239: 238: 233: 229: 228: 227: 216: 208: 206: 205: 200: 189: 188: 163: 161: 160: 155: 153: 152: 136: 134: 133: 128: 124: 123: 122: 113: 112: 100: 99: 88: 80: 78: 77: 72: 68: 67: 66: 55: 714: 713: 709: 708: 707: 705: 704: 703: 684: 683: 671:Robert F. Engle 667: 634: 633: 606: 601: 600: 573: 568: 567: 537: 529: 528: 499: 489: 449: 439: 405: 386: 376: 351: 341: 322: 312: 287: 277: 264: 251: 246: 245: 219: 211: 210: 180: 166: 165: 144: 139: 138: 114: 104: 91: 83: 82: 58: 50: 49: 46: 12: 11: 5: 712: 710: 702: 701: 696: 686: 685: 682: 681: 678: 666: 663: 650: 647: 644: 621: 618: 613: 609: 588: 585: 580: 576: 552: 549: 544: 540: 512: 509: 506: 502: 496: 492: 486: 481: 478: 475: 471: 467: 462: 459: 456: 452: 446: 442: 436: 431: 428: 425: 421: 417: 412: 408: 404: 399: 396: 393: 389: 383: 379: 375: 372: 369: 364: 361: 358: 354: 348: 344: 340: 335: 332: 329: 325: 319: 315: 311: 308: 305: 300: 297: 294: 290: 284: 280: 276: 271: 267: 263: 258: 254: 226: 222: 198: 195: 192: 187: 183: 179: 176: 173: 151: 147: 121: 117: 111: 107: 103: 98: 94: 65: 61: 45: 42: 13: 10: 9: 6: 4: 3: 2: 711: 700: 697: 695: 692: 691: 689: 679: 676: 672: 669: 668: 664: 662: 648: 645: 642: 619: 616: 611: 607: 586: 583: 578: 574: 550: 547: 542: 538: 525: 510: 507: 504: 500: 494: 490: 484: 479: 476: 473: 469: 465: 460: 457: 454: 450: 444: 440: 434: 429: 426: 423: 419: 415: 410: 406: 402: 397: 394: 391: 387: 381: 377: 373: 370: 367: 362: 359: 356: 352: 346: 342: 338: 333: 330: 327: 323: 317: 313: 309: 306: 303: 298: 295: 292: 288: 282: 278: 274: 269: 265: 261: 256: 252: 243: 242:is given by: 224: 220: 196: 193: 185: 181: 174: 149: 145: 119: 115: 109: 105: 101: 96: 92: 63: 59: 43: 41: 39: 35: 31: 27: 23: 19: 16:In financial 675:Econometrica 674: 526: 244: 47: 25: 21: 18:econometrics 15: 694:Time series 688:Categories 665:References 527:and where 44:Definition 617:≥ 608:β 584:≥ 575:α 539:α 508:− 501:θ 491:β 470:∑ 458:− 451:τ 441:α 420:∑ 407:α 395:− 388:θ 378:β 371:⋯ 360:− 353:θ 343:β 331:− 324:τ 314:α 307:⋯ 296:− 289:τ 279:α 266:α 253:θ 221:θ 175:⁡ 106:θ 93:τ 60:τ 137:, where 34:auction 640:  554:  535:  230:  217:  125:  89:  69:  56:  30:GARCH 20:, an 646:> 548:> 48:Let 26:ACD 690:: 661:. 632:, 599:, 566:, 649:0 643:i 620:0 612:i 587:0 579:i 551:0 543:0 511:i 505:t 495:i 485:p 480:1 477:= 474:i 466:+ 461:i 455:t 445:i 435:q 430:1 427:= 424:i 416:+ 411:0 403:= 398:p 392:t 382:p 374:+ 368:+ 363:1 357:t 347:1 339:+ 334:q 328:t 318:q 310:+ 304:+ 299:1 293:t 283:1 275:+ 270:0 262:= 257:t 225:t 197:1 194:= 191:) 186:t 182:z 178:( 172:E 150:t 146:z 120:t 116:z 110:t 102:= 97:t 64:t 24:(

Index

econometrics
GARCH
auction
financial markets
Robert F. Engle
Categories
Time series
Mathematical finance

Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.