标题： 关于周期GARCH过程的一些概率性质 显示英文标题

标题： On some probabilistic properties of periodic GARCH processes

摘要： 本文研究了具有条件异方差周期性的周期性GARCH过程（PGARCH）类的一些概率性质。在这些模型中，参数被允许在不同制度之间切换，因此其结构与周期性ARMA过程（PARMA）有许多相似之处。我们在一般且易于处理的假设下，研究了PGARCH(p,q)过程的严格和二阶周期平稳性、高阶矩的存在性、协方差结构、几何遍历性和-mixing。提出了一些例子来说明各种概念。 显示英文摘要

摘要： This 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.