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Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations

  • John W. Galbraith

    (McGill University)

  • Victoria Zinde-Walsh

    (McGill University)

We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high-frequency) returns data to estimate the daily conditional volatility. We obtain asymptotic properties of the estimators and offer some simulation evidence on small-sample performance, and characterize the gains relative to standard quasi-ML estimates based on daily data alone.

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File URL: http://fmwww.bc.edu/RePEc/es2000/1800.pdf
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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1800.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:1800
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  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Werker, B.J.M. & Drost, F.C., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
  3. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management.
  4. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
  5. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
  6. Nour Meddahi & √Čric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
  7. Bollen, B. & Inder, B., 1998. "A General Volatility Framework and the Generalised Historical Volatility Estimator," Monash Econometrics and Business Statistics Working Papers 10/98, Monash University, Department of Econometrics and Business Statistics.
  8. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(01), pages 3-22, February.
  9. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 912-951, October.
  10. repec:ner:tilbur:urn:nbn:nl:ui:12-153273 is not listed on IDEAS
  11. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
  12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  13. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  14. repec:ner:tilbur:urn:nbn:nl:ui:12-72561 is not listed on IDEAS
  15. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  16. Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(01), pages 29-52, March.
  17. Daniel B. Nelson & Dean P. Foster, 1992. "Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model," NBER Technical Working Papers 0132, National Bureau of Economic Research, Inc.
  18. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  19. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  20. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
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