scholarly journals Daily LGARCH model estimation using high frequency data

2021 ◽  
Vol 1 (2) ◽  
pp. 165-179
Author(s):  
Xiaoling Chen ◽  
◽  
Xingfa Zhang ◽  
Yuan Li ◽  
Qiang Xiong
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Likelihood Estimation ◽  
High Frequency Data ◽  
Simulation Studies ◽  
Frequency Data ◽  
Asymptotic Results ◽  
Estimation Precision ◽  
Quasi Maximum Likelihood ◽  
Autoregressive Conditional Heteroscedasticity

<abstract> <p>In this paper, we introduce the intraday high frequency data to estimate the daily linear generalized autoregressive conditional heteroscedasticity (LGARCH) model. Based on the volatility proxies constructed from the intraday high frequency data, the quasi maximum likelihood estimation (QMLE) of the daily LGARCH model and its asymptotic distribution are studied under some regular assumptions. One criterion is also given to choose the optimal volatility proxy according to the asymptotic results. Simulation studies show that the QMLE of the parameters performs well. It is also found that introducing the intraday high frequency data can significantly improve the estimation precision. The proposed method is applied to analyze the SSE 50 Index, which consists of the 50 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. Empirical results show the method is of potential application value.</p> </abstract>

scholarly journals Liquidity of Tunisian Stock Market: A Panel Var Estimation

2021 ◽  
Vol 10 (3) ◽  
pp. 93
Author(s):  
Wafa Chabeb ◽  
Adel Boubaker
Keyword(s):  
Response Function ◽  
High Frequency ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
High Frequency Data ◽  
Var Model ◽  
Panel Var ◽  
Frequency Data ◽  
Dynamic Interactions ◽  
Dynamic Relationships

The purpose of this paper is to estimate the functions impulsions-response of liquidity on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Abrigo and Love (2016). Our study is done on an order-driven market. The data is composed of high frequency data of orders listed on the TSE for the period April 2014 to June 2014. Inspired of the study of Jarnecic and Snape (2014), we apply a panel VAR model to stocks traded in continuous in order to examine the dynamic interactions between spread, volatility, size and frequency of transactions. Then we study the liquidity of the TSE through the impulse response function of the Panel VAR model. Our findings show dynamic relationships between spread, volatility, size and frequency of trading. Some differences exist in the dynamics of liquidity when we take into account the trading intensity of the stock. Furthermore, we note that shocks are absorbed after three gaps of 45minutes.

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