<t>Thanks for your response: I am doing a research in high frequency data analysis. I have succesfully applied cointegration to equity data using weekly closing prices. Now I want to narrow it down to intraday frequency such as 1 minute sampling frequency.my concern: there is problem of non-normalit...

Hi, has anyone attempted the next price prediction of high frequency dataset. application of arma and var is restricted cos of the non normality issue. and i will prefer price prediction rather than vol prediction using garch.thank you,femi.

Hi,I need a clarification as to the applicability of cointegration in ultra high frequency data set. I am talking about 1 mins or less sampling frequency. is cointegration applicable at this level given the non normality and heteroskedasticity of the dataset at this high frequency.Thank you.