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...

Asset returns exhibit clustering of volatility throughout the year. This paper proposes a class of models featuring periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA processes studied by Gladyshev (1961), Tiao and...

High frequency asset returns generally exhibit time dependent and seasonal clustering of volatility. This paper proposes a new class of models featuring periodicity in conditional heteroskedasticity explicitly designed to capture the repetitive seasonal time variation in the second order...