In the present paper we evaluate the performance of a non linear parametric model in forecasting high-frequency data. In particular we consider the TAR-ARCH model (Li and Lam ,1995) to fit and forecast the daily and 5-minute returns of the Mibtel Stock Index.
Non-Linear Dynamics and Evaluation of Forecasts using High-Frequency Time Series
AMENDOLA, Alessandra;NIGLIO, Marcella
2000-01-01
Abstract
In the present paper we evaluate the performance of a non linear parametric model in forecasting high-frequency data. In particular we consider the TAR-ARCH model (Li and Lam ,1995) to fit and forecast the daily and 5-minute returns of the Mibtel Stock Index.File in questo prodotto:
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