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Periodic Autoregressive Conditional Heteroscedasticity
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Periodic Autoregressive Conditional Heteroscedasticity
Periodic Autoregressive Conditional Heteroscedasticity
TB
Tim Bollerslev
Tim Bollerslev
EG
Eric Ghysels
Eric Ghysels
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1 April 1996
journal article
Published by
JSTOR
in
Journal of Business & Economic Statistics
Vol. 14
(2)
https://doi.org/10.2307/1392425
Abstract
Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteros...
Keywords
PERIODIC AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY
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Cited by 93 articles