Autoregressive conditional duration

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

Definition

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,,
,.