Temporal aggregation of multivariate GARCH processes |
| |
Authors: | Christian M. Hafner |
| |
Affiliation: | Institut de statistique and CORE, Université catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium |
| |
Abstract: | This paper derives results for the temporal aggregation of multivariate GARCH(1,1) processes in the general vector specification. It is shown that the class of weak multivariate GARCH(1,1) processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low frequency dynamics for both stock and flow variables. In some aspects, the aggregation characteristics of multivariate GARCH processes are shown to be different from those of vector autoregressive moving average processes. A numerical example illustrates some of the results. |
| |
Keywords: | C32 |
本文献已被 ScienceDirect 等数据库收录! |
|