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ACDm (version 1.0.4.3)

Tools for Autoregressive Conditional Duration Models

Description

Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.

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Version

Install

install.packages('ACDm')

Monthly Downloads

409

Version

1.0.4.3

License

GPL (>= 2)

Maintainer

Markus Belfrage

Last Published

February 20th, 2024

Functions in ACDm (1.0.4.3)

Discreetly mixed Q-Weibull and ordinary Weibull

Discreet mix of the q-Weibull and the ordinary Weibull distributions

Mean duration plot

The q-Weibull distribution

Transactions plots

Plots the response surface of the log likelihood of a fitted model.

Hazard function plot

Finite mixture of inverse Gaussian Distributions

Finite mixture of inverse Gaussian Distribution

plotRollMeanAcd

Plots rolling means of durations

Discreetly mixed Q-Weibull and exponential

Discreet mix of the q-Weibull and the exponential distributions

Quantile-Quantile plot of the residuals

Residual Density Histogram

Scatter plot for ACD models

LM test against Time-Varying ACD models (Meitz and Terasvirta, 2006)

LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)

LM test of no Remaining ACD (Meitz and Terasvirta, 2006)

standardizeResi

Residual standardization

Dirunal adjustment for durations

The generalized F distribution

computeDurations

Durations computation

ACD (Autoregressive Conditional Duration) Model Fitting

Methods for class acdFit

GeneralizedGammaDist

The generelized Gamma distribution

The Burr Distribution

Time Series Data Sets

Autocorrelation function plots for ACD models