Temporal Aggregation of the Returns of a Stock Index Series

Brannas, Kurt

doi:10.2139/ssrn.449481

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Temporal Aggregation of the Returns of a Stock Index Series

Umea Economic Studies Working Paper No. 614

8 Pages Posted: 3 Oct 2003

See all articles by Kurt Brannas

Kurt Brannas

Umeå University - Department of Economics

Date Written: September 24, 2003

Abstract

The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.

Keywords: Asymmetric moving average, QGARCH, estimation, kurtosis, Pearson IV, NYSE

JEL Classification: C13, C22, C51, C53, G12, G14

Suggested Citation: Suggested Citation

Brannas, Kurt, Temporal Aggregation of the Returns of a Stock Index Series (September 24, 2003). Umea Economic Studies Working Paper No. 614, Available at SSRN: https://ssrn.com/abstract=449481 or http://dx.doi.org/10.2139/ssrn.449481