• DocumentCode
    3747928
  • 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
  • fYear
    2015
  • Firstpage
    1
  • Lastpage
    6
  • 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"
  • Publisher
    ieee
  • Conference_Titel
    Modelling, Identification and Control (ICMIC), 2015 7th International Conference on
  • Type

    conf

  • DOI
    10.1109/ICMIC.2015.7409468
  • Filename
    7409468
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3747928