Aggregation and marginalization of GARCH processes: some further results

This paper focuses on the contemporaneous aggregation of GARCH processes. It reconsiders and extends the results achieved by Nijman and Sentana (1996) by showing that the parameters of the weak aggregate GARCH process are exact functions of the underlying processes. More specifically, an algebraic solution is provided in order to derive the implied parameters of the aggregated and marginal processes. Analytical results are given for the sum of two independent GARCH and in the context of a bivariate constant conditional correlation GARCH. Copyright Sapienza Università di Roma 2012