Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 614: Temporal Aggregation of the Returns of a Stock Index Series

Kurt Brännäs ()
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Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

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: symmetric moving average; QGARCH; estimation; kurtosis; Pearson IV; NYSE

JEL-codes: C13; C22; C51; C53; G12; G14

8 pages, September 30, 2003

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