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.
k-factors GARMA models for intraday volatility forecasting
BISAGLIA, LUISA;BORDIGNON, SILVANO;LISI, FRANCESCO
2003
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.
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