Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations

We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high-frequency) returns data to estimate the daily conditional volatility. We obtain asymptotic properties of the estimators and offer some simulation evidence on small-sample performance, and characterize the gains relative to standard quasi-ML estimates based on daily data alone.

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Year of publication:	2000-08-01
Authors:	Galbraith, John W. ; Zinde-Walsh, Victoria
Institutions:	Econometric Society

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Extent:	application/pdf
Series:	Econometric Society World Congress 2000 Contributed Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Econometric Society World Congress 2000 Contributed Papers Number 1800
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005129698