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This book is an accessible practitioners guide to the most cutting-edge models used in high-frequency finance modelling, providing advanced techniques and tools for understanding market microstructure and more generally for analyzing financial markets using recent HF data.

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection.

Key Features:

• Presents a comprehensive overview of both the...