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Temporal Aggregation of Garch Processes


  • Drost, F.C.
  • Nijman, T.E.


The authors derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. They show that low frequency models exhibit conditional heteroskedasticity of the GARCH form as well. The parameters in the conditional variance equation of the low frequency model depend upon mean, variance, and kurtosis parameters of the corresponding high frequency model. Moreover, strongly consistent estimators of the parameters in the high frequency model can be derived from low frequency data. The common assumption in applications that rescaled innovations are independent is disputable, since it depends upon the available data frequency. Copyright 1993 by The Econometric Society.
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Suggested Citation

  • Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
  • Handle: RePEc:fth:tilbur:9240

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    References listed on IDEAS

    1. John C. Ham, 1982. "Estimation of a Labour Supply Model with Censoring Due to Unemployment and Underemployment," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 335-354.
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    3. Bloemen, Hans G., 1997. "Job search theory, labour supply and unemployment duration," Journal of Econometrics, Elsevier, vol. 79(2), pages 305-325, August.
    4. Euwals, R.W., 1997. "Hours Constraints Within and Between Jobs," Discussion Paper 1997-64, Tilburg University, Center for Economic Research.
    5. van den Berg, Gerard J, 1992. "A Structural Dynamic Analysis of Job Turnover and the Costs Associated with Moving to Another Job," Economic Journal, Royal Economic Society, vol. 102(414), pages 1116-1133, September.
    6. Jerry A. Hausman, 1980. "The effect of wages, taxes, and fixed costs on women's labor force participation," NBER Chapters,in: Econometric Studies in Public Finance, pages 161-194 National Bureau of Economic Research, Inc.
    7. Blundell, Richard & Ham, John & Meghir, Costas, 1998. "Unemployment, discouraged workers and female labour supply," Research in Economics, Elsevier, vol. 52(2), pages 103-131, June.
    8. Joseph G. Altonji & Christina H. Paxson, 1992. "Labor Supply, Hours Constraints, and Job Mobility," Journal of Human Resources, University of Wisconsin Press, vol. 27(2), pages 256-278.
    9. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-694, July.
    10. Yoram Barzel, 1973. "The Determination of Daily Hours and Wages," The Quarterly Journal of Economics, Oxford University Press, vol. 87(2), pages 220-238.
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    economic models ; econometrics;


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