The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

Abdou Kâ Diongue (1) , Dominique Guegan (1)

1 CES - Centre d'économie de la Sorbonne

Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation function), asymmetric behavior and leptokurtosis. In this paper, we introduce the stationary Seasonal Hyperbolic APARCH model, which can take into account the previous features. We then investigate the probabilistic properties of the process e.g the strict and weak stationarity of the process and the long memory property.

Mots clés: Seasonality; Persistence; Asymmetry; Aparch model; Hyperbolic distribution; Stationary solution

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Abdou Kâ Diongue, Dominique Guegan. The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model. Statistics and Probability Letters, 2007, 77 (11), pp.1158-1164. ⟨10.1016/j.spl.2007.02.007⟩. ⟨halshs-00179275⟩