A note on integrated periodic GARCH processes

This note examines some probabilistic properties of periodic and integrated periodic generalized autoregressive conditionally heteroskedasticitic ((I)PGARCH)((I)PGARCH) processes. In these models, the parameters are allowed to switch between different regimes and thus constitute an important subclass of switching GARCHGARCH process. We show that, similarly to the classical IGARCHIGARCH processes, a stationary (in periodic sense) solution with infinite variance for the IPGARCHIPGARCH processes may exist.