Periodic Autoregressive Conditional Heteroscedasticity.
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.
Year of publication: |
1996
|
---|---|
Authors: | Bollerslev, Tim ; Ghysels, Eric |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 14.1996, 2, p. 139-51
|
Publisher: |
American Statistical Association |
Saved in:
Saved in favorites
Similar items by person
-
Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim, (1996)
-
Periodic Autoregressive Conditional Heteroskedasticity
Bollerslev, Tim, (2012)
-
Periodic Autoregressive Conditional Heteroscedasticity
Bollerslev, Tim, (1996)
- More ...