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Time series used in empirical analysis are often temporal aggregates. We study the effects of using temporally aggregated time series in testing for heteroscedasticity. The distribution of the test statistics is affected by aggregation which causes a severe power loss that worsens with the order of aggregation. Thus, the tests often fail to detect the heteroscedastic nature of the data which is a misleading outcome and can entail wrong decisions. Our conclusions are illustrated by an empirical application.</div> <div class="clear"></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A62M10" title="MSC2020">62M10</a> </td> <td class="space"> Time series, auto-correlation, regression, etc. in statistics (GARCH) </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Aconditional+heteroscedasticity">conditional heteroscedasticity</a>; <a href="/?q=ut%3ALagrange+multiplier+test">Lagrange multiplier test</a>; <a href="/?q=ut%3Aportmanteau+test">portmanteau test</a>; <a href="/?q=ut%3Apower+loss">power loss</a>; <a href="/?q=ut%3Atemporal+aggregation">temporal aggregation</a></div> <!-- Modal used to show zbmath metadata in different output formats--> <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;"> <!-- alert for connection errors etc --> </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function"> <!-- Button trigger metadata modal --> <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 07634803" data-ciurl="/ci/07634803" data-biburl="/bibtex/07634803.bib" data-amsurl="/amsrefs/07634803.bib" data-xmlurl="/xml/07634803.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/07634803.pdf" title="Zbl 07634803 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1080/02331888.2022.2134386" aria-label="DOI for “The use of aggregate time series for testing conditional heteroscedasticity”" title="10.1080/02331888.2022.2134386">DOI</a> </div> <div class="sfx" style="float: right;"> <a href="https://creativecommons.org/licenses/by-nc-nd/4.0/" target="_blank" title="Open Access License" class="cc-license-link no-new-tab-icon"> <img src="https://static.zbmath.org/contrib/img/cc/svg/icons/cc.svg" alt="Creative Commons CC license icon" class="cc-license-icon"> <img src="https://static.zbmath.org/contrib/img/cc/svg/icons/by.svg" alt="Creative Commons BY license icon" class="cc-license-icon"> <img src="https://static.zbmath.org/contrib/img/cc/svg/icons/nc.svg" alt="Creative Commons NC license icon" class="cc-license-icon"> <img src="https://static.zbmath.org/contrib/img/cc/svg/icons/nd.svg" alt="Creative Commons ND license icon" class="cc-license-icon"> </a> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Engle, RF., Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007 (1982) · <a href="/0491.62099" class="nowrap">Zbl 0491.62099</a> · <a href="https://doi.org/10.2307/1912773" class="nowrap">doi:10.2307/1912773</a></td> </tr><tr> <td>[2]</td> <td class="space">Bollerslev, T., Generalized autoregressive conditional heteroscedasticity, J Econom, 31, 307-327 (1986) · <a href="/0616.62119" class="nowrap">Zbl 0616.62119</a> · <a href="https://doi.org/10.1016/0304-4076(86)90063-1" class="nowrap">doi:10.1016/0304-4076(86)90063-1</a></td> </tr><tr> <td>[3]</td> <td class="space">Tsay, R., Analysis of financial time series (2010), Hoboken: John Wiley and Sons, Hoboken · <a href="/1209.91004" class="nowrap">Zbl 1209.91004</a></td> </tr><tr> <td>[4]</td> <td class="space">Tsay, R., An introduction to analysis of financial data with R (2014), Hoboken: John Wiley and Sons, Hoboken</td> </tr><tr> <td>[5]</td> <td class="space">Francq, C.; 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