Chapter 4. Temporal Aggregation and Weak GARCH Models

  1. Christian Francq1,
  2. Jean-Michel Zakoïan1,2

Published Online: 14 JUL 2010

DOI: 10.1002/9780470670057.ch4

Book Title

GARCH Models: Structure, Statistical Inference and Financial Applications

GARCH Models: Structure, Statistical Inference and Financial Applications

Additional Information

How to Cite

Francq, C. and Zakoïan, J.-M. (2010) Temporal Aggregation and Weak GARCH Models, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch4

Author Information

  1. 1

    University Lille 3, Lille, France

  2. 2

    CREST, Paris, France

Publication History

  1. Published Online: 14 JUL 2010
  2. Published Print: 23 JUL 2010

ISBN Information

Print ISBN: 9780470683910

Online ISBN: 9780470670057

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Keywords:

  • temporal aggregation and weak GARCH models;
  • strong model nontemporal aggregation;
  • nonaggregation in class of semi-strong GARCH processes;
  • ARMA orders, compatible with semi-strong GARCH(1, 2) model;
  • weak GARCH - fourth-order stationary process (∈t) - said to be a weak GARCH;
  • generality of weak GARCH class;
  • class of weak GARCH processes - not limited to processes by temporal aggregation;
  • finance, linear combinations of series - GARCH series processes, linear combination being GARCH process;
  • strong GARCH process aggregation in weak GARCH class;
  • weak GARCH computation representation

Summary

This chapter contains sections titled:

  • Temporal Aggregation of GARCH Processes

  • Weak GARCH

  • Aggregation of Strong GARCH Processes in the Weak GARCH Class

  • Bibliographical Notes

  • Exercises

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