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Temporal Aggregation of the Returns of a Stock Index Series


  • Brännäs, Kurt

    () (Department of Economics, Umeå University)


The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.

Suggested Citation

  • Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies 614, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0614

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    References listed on IDEAS

    1. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    2. Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
    3. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
    4. Kurt Brannas & Niklas Nordman, 2003. "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 725-728.
    5. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
    6. Kurt Brannas & Niklas Nordman, 2003. "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 537-541.
    7. Kurt Brännäs & Henry Ohlsson, 1999. "Asymmetric Time Series and Temporal Aggregation," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 341-344, May.
    8. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
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    More about this item


    symmetric moving average; QGARCH; estimation; kurtosis; Pearson IV; NYSE;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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