ARFIMAX and ARFIMAX-TARCH realized volatility modeling |
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| Authors: | Stavros Degiannakis |
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| Institution: | 1. Department of Statistics , Athens University of Economics and Business , Athens;2. Department of Economic and Regional Development , University of Central Greece , Levadia , Greece |
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| Abstract: | 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. |
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| Keywords: | ARFIMAX realized volatility TARCH volatility forecasting |
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