1024 Autoregressive Conditional Duration Models
21.7 Conclusion
In this chapter, we introduced the autoregressive conditional duration models and
discussed their properties and statistical inference. Among many applications, we
used the model to study the daily volatility of stock prices and found that, for
Apple stock, adopting the decimal system on January 29, 2001, indeed significantly
reduces the price volatility.
Note
- The estimation of all ACD models in this chapter is carried out by the FMINCON function
in Matlab.
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