Can you reccomend model for high frequency data (1 second and less) (returns and volatility forecasting)? Most papers use ARMA, GARCH etc in 1 minute and lower time frame. PROBLEM ARMA does not know nothing about order imbalance and order flow correlation so i looking for model which can combine order book and time series forecasting model. Efficient estimation of volatility Zumbach 2002
Order Book Slope and Price Volatility , Petko Kalev EGARCH aproach. Anybody used it ?Or know something better? What do you use?
I know there are a lot or papers and question already about volatility/But just want to know expert opinion what to choose for high frequency?