Document Type : Original Paper
Department of Statistic, ‎School of‎ ‎Mathematics and Computer Science‎, ‎Damghan ‎University, Damghan, Semnan, Iran
Faculty of Mathematics and Computer Science,. Amirkabir University of technology
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.