  This paper explores the duration dynamics modelling under the Autoregressive
Conditional Durations (ACD) framework (Engle and Russell 1998). I test
different distributions assumptions for the durations. The empirical results
suggest unconditional durations approach the Gamma distributions. Moreover,
compared with exponential distributions and Weibull distributions, the ACD
model with Gamma distributed innovations provide the best fit of SPY durations.
