Drost, Feike C; Nijman, Theo E - In: Econometrica 61 (1993) 4, pp. 909-27
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...