acf_acd

plots the ACF (Auto Correlation Function) for the durations, diurnally adjusted durations, and residuals.

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.

Markus Belfrage

ACDm

Tools for Autoregressive Conditional Duration Models

acf_acd function

<dl> <dt>fitModel</dt>
<dd>a fitted model of class "acdFit", or a data.frame containing at least one the columns "durations", "adjDur", or "residuals". Can also be a vector of durations or residuals.</dd> <dt>conf_level</dt>
<dd>the confidence level of the confidence bands</dd> <dt>max</dt>
<dd>the largest lag to plot</dd> <dt>min</dt>
<dd>the smallest lag to plot</dd></dl>

Arguments

Author

Autocorrelation function plots for ACD models — acf_acd

<dl>

 <dt>fitModel</dt>
<dd>a fitted model of class "acdFit", or a data.frame containing at least one the columns "durations", "adjDur", or "residuals". Can also be a vector of durations or residuals.</dd>

 <dt>conf_level</dt>
<dd>the confidence level of the confidence bands</dd>

 <dt>max</dt>
<dd>the largest lag to plot</dd>

 <dt>min</dt>
<dd>the smallest lag to plot</dd>

</dl>

acf_acd: Autocorrelation function plots for ACD models

Description

Usage

Value

Arguments

Author

Examples