Garch-Typed Vg Model in Price-Duration Analysis Using High-Frequency Price Data

Lie-Jane Kao ； Po-Cheng Wu ； Yuet-Sheung Yuen

《Advances in Financial Planning and Forecasting》 5期 (2012/12) Pp. 195-213

https://doi.org/10.6292/AFPF.2012.05.08

並列摘要

A general autoregressive conditional heteroskedasticity (GARCH)-typed variance-gamma (VG) model, the VG-GARCH model, developed by Kao, Wu, and Lee (2011) is adopted for the analysis of high-frequency intraday price data in a price-duration setting. The advantages of the proposed VG-GARCH model are in three respects: (1) The price process is based on an Ito's semi-martingale, namely, a VG process, which is a desirable feature in finance theory; (2) The VG process has its physical-economical implication in that it can be expressed as the market liquidity measure VNET defined by Engle and Lange (2001); (3) By allowing time-varying scale parameter that obeys a nonlinear GARCH (NGARCH) process, the feedback and leverage effects of price changes on elapsed time, and the resulting temporal dependency and clustering in elapsed times and price changes are accounted for. An empirical study is implemented by comparing the proposed model to the EACD-VAR model by Dufour and Engle (2000) of using one-minute S&P 500 index from January 2, 2001 to May 31, 2001. The performance is demonstrated, specifically through a comparison of the proposed model and the competing model.

並列關鍵字

VG-GARCH Model ； High-Frequency Intraday Price Data ； Price-Duration ； Ito's Semi-martingale ； VG Process ； Market Liquidity ； VNET ； Feedback Effect ； Leverage Effect ； Temporal Dependency ； Clustering ； EACD-VAR Model

參考文獻

Aït-Sahalia, Y.(Ed.),Hansen, L. P.(Ed.)(2006).Handbook of financial econometrics.Amsterdam:North Holland.

Aït-Sahalia, Y.,Mykland, P. A.(2003).The effects of random and discrete sampling when estimating continuous-time diffusions.Econometrica.71,483-549.

Andersen, T. G.,Bollerslev, T.,Diebold, F. X.,Ebens, H.(2001).The distribution of realized stock return volatility.Journal of Financial Economics.61,43-76.

Ané, T.,Geman, H.(2000).Order flow, transaction clock, and normality of asset returns.Journal of Finance.55,2259-2284.

Carr, P.,Geman, H.,Madan, D. B.,Yor, M.(2002).The fine structure of asset returns: An empirical investigation.Journal of Business.75,305-332.