A family of autoregressive conditional duration models applied to financial data

摘要

The Birnbaum–Saunders distribution is receiving considerable attention due to its good properties. One of its extensions is the class of scale-mixture Birnbaum–Saunders (SBS) distributions, which shares its good properties, but it also has further properties. The autoregressive conditional duration models are the primary family used for analyzing high-frequency financial data. We propose a methodology based on SBS autoregressive conditional duration models, which includes in-sample inference, goodness-of-fit and out-of-sample forecast techniques. We carry out a Monte Carlo study to evaluate its performance and assess its practical usefulness with real-world data of financial transactions from the New York stock exchange.