Rohollah Ramezani, Saeid Rezakhah Varnousefaderani, Majid Farhadi
Journal of Advanced Mathematical Modeling, Volume 8, Issue 2, Pages 38-53
Publication year: 2018

Abstract

In this paper, we study LARCH processes with periodic structure as a new class of time series with periodic conditional heteroscedasticity and long memory property.  We characterize the structure of inter and intra season correlations.

Under the proposed assumptions, the long memory property for each season is studied too. Finally, by simulation study the efficiency of the R/S estimator for estimating long memory parameter of each season is shown.

 

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