Title :
A SCD-SV model for ultra-high-frequency data
Author :
Yanan Wang;Yuanhui Shi;Qizong Wu
Author_Institution :
College of economic and management, Hebei University of Science and Technology, Shijiazhuang Hebei 050018, China
Abstract :
This paper introduces SCD-SV model and compares it with the ACD-GARCH model of Grammig and Wellner (2002). The model offers a flexible structure for the dynamics of the duration process and return volatility process. We apply SCD-SV model to price durations and volatility of four securities listed on the China Stock Exchange, and we compares it with ACD-GARCH model. The result shows that the model is better than ACD-GARCH model.
Keywords :
"Computational modeling","Data models","Markov processes","Stock markets","Proposals","Monte Carlo methods"
Conference_Titel :
Modelling, Identification and Control (ICMIC), 2015 7th International Conference on
DOI :
10.1109/ICMIC.2015.7409468
