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



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
32 16 32 68 40 (Phone)
32 16 32 67 (Fax)

Olivier V. Pictet (Contact Author)

Pictet Asset Management ( email )


Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
+41795447327 (Phone)

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