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ACDm (version 1.1.0)

Tools for Autoregressive Conditional Duration Models

Description

Provides tools for autoregressive conditional duration (ACD, Engle and Russell, 1998) models. Functions to create trade, price, or volume durations from transaction data, perform diurnal adjustments, fit various ACD models, and test them.

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Version

Install

install.packages('ACDm')

Monthly Downloads

527

Version

1.1.0

License

GPL (>= 3)

Maintainer

Markus Belfrage

Last Published

July 16th, 2025

Functions in ACDm (1.1.0)

Discreetly mixed Q-Weibull and ordinary Weibull

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

Discreetly mixed Q-Weibull and exponential

Discreet mix of the Q-Weibull and the exponential distributions

Transactions plots

Scatter plot for ACD models

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

The q-Weibull distribution

Mean duration plot

standardizeResi

Residual standardization

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

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

Residual Density Histogram

Quantile-Quantile plot of the residuals

plotRollMeanAcd

Plots rolling means of durations

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

Dirunal adjustment for durations

GeneralizedGammaDist

The generelized Gamma distribution

Time Series Data Sets

The Burr Distribution

The generalized F distribution

Autocorrelation function plots for ACD models

ACD (Autoregressive Conditional Duration) Model Fitting

Methods for class acdFit

computeDurations

Durations computation

Finite mixture of inverse Gaussian Distributions

Finite mixture of inverse Gaussian Distribution

Hazard function plot