I am using a simple ACD (autoregressive conditional duration) model with expoential or Burr distributed residuals and 1 lag, i.e. ACD(1,1).
I am modelling durations for transactions data on a 'medium' liquidity market.
I obtain a correct fit, but not very good out-of-sample results. Does anyone have experience with handling this model on real data? and using it for out-of-sample prediction.
I am interested by practitioner's ressource: code, tutorial, example, notebooks, etc. or direct feedback.