The Augmented ACD Models: High Frequency Modelling and Applications to BVMT Stocks
Keywords:
Financial time transaction, autoregressive conditional duration models, augmented ACD models, aggregationAbstract
We propose in this paper, a new work to model the durations between successive transactions of the Stock Exchange of Tunis (BVMT). For this purpose, the autoregressive approach of the ACD model will be extended to the class of augmented ACD models to model the data that arrive at irregularly spaced intervals in time called high-frequency data or Ultra-high frequency data. The choice of the interval remains crucial since the daily exchanges are too small.
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