Aknouche, Abdelhakim; Bentarzi, Mohamed - In: Statistics & Probability Letters 78 (2008) 18, pp. 3262-3268
In this paper we mainly study the existence of higher-order moments of periodic GARCH models (P-GARCH) introduced by [Bollerslev, T., Ghysels, E., 1996. Periodic autoregressive conditional heteroskedasticity. Journal of Business and Economic Statistics 14, 139-152]. We provide an explicit...