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Periodic Autoregressive Conditional Heteroskedasticity

  • Bollerslev, T.
  • Ghysels, E.

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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File URL: http://hdl.handle.net/1866/2107
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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9408.

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Length: ; 27 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:mtl:montde:9408
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