Robert F. Engle, Jose Gonzalo Rangel, The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes, The Review of Financial Studies, Vol. 21, No. 3 (May, 2008), pp.

We derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. Both stock and flow variable cases are considered. We show that low frequency ...