周期GARCH过程的若干概率性质
On some probabilistic properties of periodic GARCH processes
摘要：
本文研究了一类具有条件异方差周期性的周期Gestival过程（PGestival）的概率性质。在这些模型中，参数可以在不同的区域之间切换，因此它们的结构与周期ARMA过程（PARMA）有许多共同的性质。我们研究了严格和二阶周期平稳性，高阶矩的存在性，协方差结构，几何遍历性和混合的PG_（p，q）过程在一般和易于处理的假设。提出了一些例子来说明各种概念。
英文摘要：
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.
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