The Stochastic Conditional Duration Model: An Empirical Study in TSE

This study modeled the transaction and volume durations for three stocks listed in Tehran Stock Exchange (TSE). The ndings indicated that stochastic conditional duration (SCD) model can properly model trade and volume duration. Further, comparing the SCD model and autoregressive conditional duration (ACD) model indicated that both models properly explains the durations. However, the SCD model outperformed ACD in regards to describing data overdispersion, high correlation, and predicting trade duration