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arXiv · 2111.02300

Autoregressive conditional duration modelling of high frequency data

Xiufeng Yan
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Abstract

This paper explores the duration dynamics modelling under the Autoregressive Conditional Durations (ACD) framework (Engle and Russell 1998). I test different distributions assumptions for the durations. The empirical results suggest unconditional durations approach the Gamma distributions. Moreover, compared with exponential distributions and Weibull distributions, the ACD model with Gamma distributed innovations provide the best fit of SPY durations.

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Xiufeng Yan. 2021-11-03. Autoregressive conditional duration modelling of high frequency data. https://arxiv.org/abs/2111.02300

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