Estimation of temporally aggregated multivariate GARCH models

  title={Estimation of temporally aggregated multivariate GARCH models},
  author={C. M. Hafner and Jeroen V. K. Rombouts},
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one major condition that is often used in proving the consistency of QML, the correct specification of the first two moments, is absent. Indeed, our results suggest that QML is not consistent, with a… CONTINUE READING