Modelling and forecasting with financial duration data using non-linear model

The class of autoregressive conditional duration (ACD) models plays an important role in modelling the duration data in economics and finance. This paper presents a non-linear model to allow the first four moments of the duration to depend nonlinearly on past information variables. Theoretically the...

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Main Authors: Pooi, Ah Hin *, Ng, Kok Haur, Soo, Huei Ching *
Format: Article
Language:English
Published: Academy of Economic Studies, Bucharest 2016
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Online Access:http://eprints.sunway.edu.my/433/1/Pooi%20Ah%20Hin.pdf
http://eprints.sunway.edu.my/433/
http://www.ecocyb.ase.ro/nr20162/05%20-%20AH-HIN%20Pooi,%20KOK-HAUR%20Ng%20(T).pdf
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spelling my.sunway.eprints.4332019-05-10T08:55:36Z http://eprints.sunway.edu.my/433/ Modelling and forecasting with financial duration data using non-linear model Pooi, Ah Hin * Ng, Kok Haur Soo, Huei Ching * HA Statistics HG Finance The class of autoregressive conditional duration (ACD) models plays an important role in modelling the duration data in economics and finance. This paper presents a non-linear model to allow the first four moments of the duration to depend nonlinearly on past information variables. Theoretically the model is more general than the linear ACD model. The proposed model is fitted to the data given by the 3534 transaction durations of IBM stock on five consecutive trading days. The fitted model is found to be comparable to the Weibull ACD model in terms of the in-sample and out-of-sample mean squared prediction errors and mean absolute forecast deviations. In addition, the Diebold-Mariano test shows that there are no significant differences in forecast ability for all models. Academy of Economic Studies, Bucharest 2016 Article PeerReviewed text en http://eprints.sunway.edu.my/433/1/Pooi%20Ah%20Hin.pdf Pooi, Ah Hin * and Ng, Kok Haur and Soo, Huei Ching * (2016) Modelling and forecasting with financial duration data using non-linear model. Economic Computation and Economic Cybernetics Studies and Research, 50 (2). pp. 79-92. ISSN 1842–3264 http://www.ecocyb.ase.ro/nr20162/05%20-%20AH-HIN%20Pooi,%20KOK-HAUR%20Ng%20(T).pdf
institution Sunway University
building Sunway Campus Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Sunway University
content_source Sunway Institutional Repository
url_provider http://eprints.sunway.edu.my/
language English
topic HA Statistics
HG Finance
spellingShingle HA Statistics
HG Finance
Pooi, Ah Hin *
Ng, Kok Haur
Soo, Huei Ching *
Modelling and forecasting with financial duration data using non-linear model
description The class of autoregressive conditional duration (ACD) models plays an important role in modelling the duration data in economics and finance. This paper presents a non-linear model to allow the first four moments of the duration to depend nonlinearly on past information variables. Theoretically the model is more general than the linear ACD model. The proposed model is fitted to the data given by the 3534 transaction durations of IBM stock on five consecutive trading days. The fitted model is found to be comparable to the Weibull ACD model in terms of the in-sample and out-of-sample mean squared prediction errors and mean absolute forecast deviations. In addition, the Diebold-Mariano test shows that there are no significant differences in forecast ability for all models.
format Article
author Pooi, Ah Hin *
Ng, Kok Haur
Soo, Huei Ching *
author_facet Pooi, Ah Hin *
Ng, Kok Haur
Soo, Huei Ching *
author_sort Pooi, Ah Hin *
title Modelling and forecasting with financial duration data using non-linear model
title_short Modelling and forecasting with financial duration data using non-linear model
title_full Modelling and forecasting with financial duration data using non-linear model
title_fullStr Modelling and forecasting with financial duration data using non-linear model
title_full_unstemmed Modelling and forecasting with financial duration data using non-linear model
title_sort modelling and forecasting with financial duration data using non-linear model
publisher Academy of Economic Studies, Bucharest
publishDate 2016
url http://eprints.sunway.edu.my/433/1/Pooi%20Ah%20Hin.pdf
http://eprints.sunway.edu.my/433/
http://www.ecocyb.ase.ro/nr20162/05%20-%20AH-HIN%20Pooi,%20KOK-HAUR%20Ng%20(T).pdf
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score 13.18916