On some probabilistic properties of periodic GARCH processes

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dc.creatorBibi, Abdelouahab
dc.creatorAknouche, Abdelhakim
dc.date2007-09-19
dc.date.accessioned2026-07-07T08:30:50Z
dc.date.available2026-07-07T08:30:50Z
dc.descriptionThis paper examines some probabilistic properties of the class of periodic GARCH processes (PGARCH) which feature periodicity in conditional heteroskedasticity. In these models, the parameters are allowed to switch between different regimes, so that their structure shares many properties with periodic ARMA process (PARMA). We examine the strict and second order periodic stationarities, the existence of higher-order moments, the covariance structure, the geometric ergodicity and -mixing of the PGARCH(p,q) process under general and tractable assumptions. Some examples are proposed to illustrate the various concepts.
dc.description15 pages
dc.identifierhttps://arxiv.org/abs/0709.2983
dc.identifierhttp://arxiv.org/abs/0709.2983
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/138341
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject62M10 (Primary) 62M05 (Secondary)
dc.titleOn some probabilistic properties of periodic GARCH processes
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