k -Factor GARMA models for intraday volatility forecasting

Luisa Bisaglia, Silvano Bordignon and Francesco Lisi ()

Applied Economics Letters, 2003, vol. 10, issue 4, 251-254

Abstract: This paper studies the ability of the k -factor GARMA processes to model and forecast the volatility of an intraday financial time series. Forecasting results from the k -factor GARMA model are obtained and compared with those produced by a conventional SARIMA model.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:10:y:2003:i:4:p:251-254

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/1350485032000050653

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().