A total of 19 376 test day (TD) milk yield records from the first three lactations of 1618 cows daughters of 162 sires were used to estimate genetic and phenotypic parameters and determine the relationship between daily milk yield and lactation milk yield in the Sahiwal cattle in Kenya. Variance components were estimated using animal models based on a derivative free restricted maximum likelihood procedure. Variance components were estimated using various univariate and multi-trait fixed regression test day models (TDM) that defined contemporary groups either based on the year-season of calving (YSCV) or on the year-season of TD milk sampling (YSTD). Variance components were influenced by CG which resulted in differences in heritability and repeatability estimates between TDM. Models considering YSTD resulted in higher additive genetic variances and lower residual variances compared with models in which YSCV was considered. Heritability estimates for daily yield ranged from 0.28 to 0.46, 0.38 to 0.52 and 0.33 to 0.52 in the first, second and third lactation, respectively. In the first and second lactation, the heritability estimates were highest between TD 2 and TD 4. Genetic correlations among daily milk yields ranged from 0.41 to 0.93, 0.50 to 0.83 and 0.43 to 86 in the first, second and third lactation, respectively. The phenotypic correlations were correspondingly lower. Genetic correlations were different from unit when fitting multi-trait TDM. Therefore, a multiple trait model would be more ideal in determining the genetic merit of dairy sires and bulls based on daily yield records. Genetic and phenotypic correlations between daily yield and lactation yields were high and positive. Genetic correlations ranged from 0.84 to 0.99, 0.94 to 1.00 and 0.94 to 0.97 in the first, second and third lactations, respectively. The corresponding phenotypic correlation estimates ranged from 0.50 to 0.85, 0.50 to 0.83 and 0.53 to 0.87. The high genetic correlation between daily yield and lactation yield imply that both traits are influenced by similar genes. Therefore daily yields records could be used in genetic evaluation in the Sahiwal cattle breeding programme.