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Temporal aggregation of GARCH processes

Author

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  • Drost, F.C.

    (Tilburg University, Center For Economic Research)

  • Nijman, T.E.

    (Tilburg University, Center For Economic Research)

Abstract

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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(This abstract was borrowed from another version of this item.)
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(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Discussion Paper 1992-40, Tilburg University, Center for Economic Research.
  • Handle: RePEc:tiu:tiucen:afe8fdcf-5f83-44b5-8da3-58fda100ffa9
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    References listed on IDEAS

    as
    1. Strijbosch, L.W.G. & Moors, J.J.A., 1998. "Inventory Control : The Impact of Unknown Demand Distribution," Research Memorandum 770, Tilburg University, School of Economics and Management.
    2. Zhaohui Zeng, Amy & Hayya, Jack C., 1999. "The performance of two popular service measures on management effectiveness in inventory control," International Journal of Production Economics, Elsevier, vol. 58(2), pages 147-158, January.
    3. Bartezzaghi, Emilio & Verganti, Roberto & Zotteri, Giulio, 1999. "Measuring the impact of asymmetric demand distributions on inventories," International Journal of Production Economics, Elsevier, vol. 60(1), pages 395-404, April.
    4. Geunes, Joseph & Zeng, Amy Z., 2001. "Impacts of inventory shortage policies on transportation requirements in two-stage distribution systems," European Journal of Operational Research, Elsevier, vol. 129(2), pages 299-310, March.
    5. repec:pal:jorsoc:v:53:y:2002:i:11:d:10.1057_palgrave.jors.2601441 is not listed on IDEAS
    6. J J A Moors & L W G Strijbosch, 2002. "Exact fill rates for (R, s, S) inventory control with gamma distributed demand," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1268-1274.
    7. Chen, M. S. & Chuang, C. C., 2000. "An extended newsboy problem with shortage-level constraints," International Journal of Production Economics, Elsevier, vol. 67(3), pages 269-277, October.
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    Keywords

    GARCH Models; econometrics;

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