Periodic Autoregressive Conditional Heteroscedasticity

Tim Bollerslev and Eric Ghysels ()

Journal of Business & Economic Statistics, 1996, vol. 14, issue 2, 139-51

Abstract: Most high frequency asset returns exhibit seasonal volatility patterns. This paper proposes a new class of periodic ARCH, or P-ARCH, models explicitly designed to capture the repetitive variation in the second order moments. The importance of the informational loss associated with the implicit relation between P-GARCH structures and the corresponding time-invariant seasonal weak GARCH processes are quantified through the use of Monte Carlo simulation methods. Two empirical examples with daily bilateral deutschemark-British pound and intraday deutschemark-U.S. dollar spot exchange rates highlight the practical relevance of the new P-GARCH class of models.

Date: 1996
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Related works:
Working Paper: Periodic Autoregressive Conditional Heteroskedasticity (1994)
Working Paper: Periodic Autoregressive Conditional Heteroskedasticity (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:14:y:1996:i:2:p:139-51

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