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A note on integrated periodicGARCHprocesses

Authors
Journal
Statistics & Probability Letters
0167-7152
Publisher
Elsevier
Volume
87
Identifiers
DOI: 10.1016/j.spl.2014.01.007
Keywords
  • Periodicgarchprocesses
  • Strict Periodic Stationarity
  • Integrated Periodicgarchprocesses

Abstract

Abstract This note examines some probabilistic properties of periodic and integrated periodic generalized autoregressive conditionally heteroskedasticitic ((I)PGARCH) processes. In these models, the parameters are allowed to switch between different regimes and thus constitute an important subclass of switching GARCH process. We show that, similarly to the classical IGARCH processes, a stationary (in periodic sense) solution with infinite variance for the IPGARCH processes may exist.

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