On the Intra-Daily Performance of GARCH Processes

Posted: 23 Aug 1998

See all articles by Dominique M. Guillaume

Dominique M. Guillaume

Catholic University of Leuven

Olivier V. Pictet

Pictet Asset Management

Michel M. Dacorogna

DEAR-Consulting

Abstract

In this paper, we show that the use of an alternative time scale can eliminate the inefficiencies in the estimation of a GARCH model caused by intra-daily seasonal patterns. Even so, however, the temporal aggregation properties of the GARCH model do not hold at the intra-daily frequencies, revealing the presence of several time-horizons components. Besides, distinct characteristics were identified in the very short (less than 2 hours) and the very long (several months) run. Finally, the out-of-sample predictive power of GARCH for the volatility was found to be lower than the historical volatility itself implying the presence of other sources of heterogeneity.

JEL Classification: G19

Suggested Citation

Guillaume, Dominique M. and Pictet, Olivier V. and Dacorogna, Michel M., On the Intra-Daily Performance of GARCH Processes. Available at SSRN: https://ssrn.com/abstract=6781

Dominique M. Guillaume

Catholic University of Leuven ( email )

Oude Markt 13
Center for Economic Studies
B-3000 Leuven
Belgium
32 16 32 68 40 (Phone)
32 16 32 67 (Fax)

Olivier V. Pictet (Contact Author)

Pictet Asset Management ( email )

Geneva
Switzerland

Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
Switzerland
+41795447327 (Phone)

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