Periodic Autoregressive Conditional Heteroscedasticity
- 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
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