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Periodic Autoregressive Conditional Heteroscedasticity

  • Bollerslev, Tim
  • Ghysels, Eric

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.

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 14 (1996)
Issue (Month): 2 (April)
Pages: 139-51

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Handle: RePEc:bes:jnlbes:v:14:y:1996:i:2:p:139-51
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