ACD autoregressive conditional duration

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eviewsNewbie

ACD autoregressive conditional duration

Postby eviewsNewbie » Fri Mar 27, 2009 8:33 pm

Hi,

Are there any ACD examples in EViews available for download?

Thanks

QSnakecharmer
Posts: 13
Joined: Mon Mar 30, 2009 11:57 am

Re: ACD autoregressive conditional duration

Postby QSnakecharmer » Mon Mar 30, 2009 12:57 pm

To my knowledge, eviews has not incorporated duration models yet (so, there are no ACD examples yet).

razor73
Posts: 1
Joined: Thu Apr 02, 2009 8:18 pm

Re: ACD autoregressive conditional duration

Postby razor73 » Thu Apr 02, 2009 8:46 pm

i agree with QSnakecharmer said that "eviews has not incorporated duration models yet" so there are no ACD examples yet!!!

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: ACD autoregressive conditional duration

Postby trubador » Sun May 17, 2009 11:10 pm

As the name suggests, Autoregressive Conditional Duration (ACD) models deal with the time duration between transactions in high frequency data and share very similar principles to that of GARCH models. Many types of ACD models can be easily built and estimated via EViews' logl object. The difficulty of such models does not lie in the estimation, but rather in preprocessing of the data itself. For instance, in order to prepare the data for the analysis, one should first adjust for the diurnal pattern (a similar concept to seasonality) observed in such data, which is not that much easy to handle.

juney.inin
Posts: 1
Joined: Sun May 31, 2009 8:49 am

Re: ACD autoregressive conditional duration

Postby juney.inin » Sun May 31, 2009 8:57 am

My friend says that their are many types of ACD models can be easily built and estimated via EViews' logl object. The models does difficulty is not lie in the estimation..


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