The Augmented ACD Models: High Frequency Modelling and Applications to BVMT Stocks


  • Slim Guessoum Higher Institute of Finance and Taxation of Sousse, Street 18 Janvier 1952 BP 436, Sousse 4000, Tunisia.


Financial time transaction, autoregressive conditional duration models, augmented ACD models, aggregation


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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How to Cite

Guessoum, S. (2022). The Augmented ACD Models: High Frequency Modelling and Applications to BVMT Stocks. International Journal of Sciences: Basic and Applied Research (IJSBAR), 64(1), 166–188. Retrieved from