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.
Ramezani, R., Rezakhah VARNOUSEFADERNAI, S. & Farhadi, M. (2018). A new model for periodically correlated process with conditional heteroscedasticity. Journal of Advanced Mathematical Modeling, 8(2), 38–53. https://doi.org/10.22055/jamm.2018.20658.1377
MLA
Ramezani, R., Rezakhah VARNOUSEFADERNAI, S., & Farhadi, M. "A new model for periodically correlated process with conditional heteroscedasticity", Journal of Advanced Mathematical Modeling, 8, 2, 2018, 38–53. doi: 10.22055/jamm.2018.20658.1377
HARVARD
Ramezani, R., Rezakhah VARNOUSEFADERNAI, S., & Farhadi, M. (2018). 'A new model for periodically correlated process with conditional heteroscedasticity', Journal of Advanced Mathematical Modeling, 8(2), pp. 38–53. doi: 10.22055/jamm.2018.20658.1377
CHICAGO
Ramezani, R., Rezakhah VARNOUSEFADERNAI, S. & Farhadi, M., "A new model for periodically correlated process with conditional heteroscedasticity." Journal of Advanced Mathematical Modeling, 8 2 (2018): 38–53, doi: 10.22055/jamm.2018.20658.1377
VANCOUVER
Ramezani R., Rezakhah VARNOUSEFADERNAI S., Farhadi M. A new model for periodically correlated process with conditional heteroscedasticity. JAMM. 2018;8(2):38–53 (In Persian). doi: 10.22055/jamm.2018.20658.1377
