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

John Galbraith and Victoria Zinde-Walsh

No 1800, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: 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.

Date: 2000-08-01
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Working Paper: Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations (2001)
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