Bollerslev, T.; Ghysels, Eric - 1996
the second-order moments. This new class of periodic autoregressive conditional heteroscedasticity, or P-ARCH, models is … directly related to the class of periodic autoregressive moving average (ARMA) models for the mean. The implicit relation … between periodic generalized ARCH (P-GARCH) structures and time-invariant seasonal weak GARCH processes documents how …