On the tail behavior of a class of multivariate conditionally heteroskedastic processes

Rasmus Pedersen and Olivier Wintenberger
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Rasmus Pedersen: LSTA, University of Copenhagen

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Abstract: Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution is regularly varying. In order to account for the possibility of different tail indices of the marginals, we consider the notion of vector scaling regular variation, in the spirit of Perfekt (1997, Advances in Applied Probability, 29, pp. 138-164). The characterization of the tail behavior of the processes is used for deriving the asymptotic properties of the sample covariance matrices.

Date: 2017-01, Revised 2017-12
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Working Paper: On the tail behavior of a class of multivariate conditionally heteroskedastic processes (2017)
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