Tail behaviour of [beta]-TARCH models

Péter Elek and László Márkus

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1758-1763

Abstract: It is now common knowledge that the simple quadratic ARCH process has a regularly varying tail even when generated by a normally distributed noise, and the tail behaviour is well-understood under more general conditions as well. Much less studied is the case of [beta]-ARCH-type processes, i.e. when the conditional variance is a 2[beta]-power function with 0

Keywords: ARCH-type; model; Conditional; heteroscedasticity; Extreme; value; theory; Tail; behaviour (search for similar items in EconPapers)
Date: 2010
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