The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

Abdou Ka Diongue and Dominique Guegan (dominique.guegan@univ-paris1.fr)
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation function), asymmetric behavior and leptokurtosis. In this paper, we introduce the stationary Seasonal Hyperbolic APARCH model, which can take into account the previous features. We then investigate the probabilistic properties of the process e.g the strict and weak stationarity of the process and the long memory property.

Keywords: Seasonality; Persistence; Asymmetry; Aparch model; Hyperbolic distribution; Stationary solution (search for similar items in EconPapers)
Date: 2007-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00179275
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Published in Statistics and Probability Letters, 2007, 77 (11), pp.1158-1164. ⟨10.1016/j.spl.2007.02.007⟩

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Related works:
Journal Article: The stationary seasonal hyperbolic asymmetric power ARCH model (2007)
Working Paper: The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00179275

DOI: 10.1016/j.spl.2007.02.007

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