MODELING AND FORECASTING OF INTRADAY VOLUME TIME SERIES IN CHINESE STOCK MARKET
Handong Li · Journal of Beijing Normal University · 2013
Statistical feature of intraday high-frequency volume time series,including stationarity,autocorrelation and long-memory feature were analyzed.The mean-variance models for intraday volume time series were established which have removed intraday periodical w-shaped trend.By setting up ARCH-type model and ARFIMA model to eliminate Heteroscedasticity and long-memory feature,the outcome of simulation and forecast were improved in a large degree with ARFIMA model.