New answers tagged tick-data
The code you posted is wrong since you do not model the time series behavior of the up/down process (ie if you have 10 up move and consequently 10 down move it is not the same as the opposite ie 10 down and after 10 up..). I would recommend you to use standards Arma Garch models apply on returns instead of modeling the process of up/down. These are (at ...
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