Autoregressive conditional duration


In financial econometrics, an autoregressive conditional duration model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction waiting times between two consecutive trades vary at random.

Definition

Specifically, let denote the duration
and
assume that, where
are independent and identically distributed random variables, positive and with and where
the series is given by
and where,,
,.