Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations
نویسندگان
چکیده
We consider estimates of the parameters of GARCH models of daily nancial returns, obtained using intra-day (high-frequency) returns data to estimate the daily conditional volatility. We obtain asymptotic properties of the estimators and o er 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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