On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process

Ji-Chun Liu

Statistics & Probability Letters, 2006, vol. 76, issue 13, 1323-1330

Abstract: This paper considers some structural properties of Box-Cox transformed threshold GARCH(1,1) process. First, a sufficient and necessary condition for the strict stationarity of this threshold GARCH process is given. Second, some simple conditions for the existence of the moments of the threshold GARCH process are also derived. Finally, we describe the tail of the marginal distribution of the threshold GARCH process. It gives a precise meaning to the statement "light-tailed input causes heavy-tailed output".

Keywords: Heavy-tail; distribution; Box-Cox; transformation; Threshold; GARCH; Strict; stationarity; Existence; of; moments (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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