tail behavior of a threshold autoregressive stochastic volatility model

Aliou Diop and Dominique Guegan ()
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Aliou Diop: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid regurlarly random vatiables. We prove that both the right and the left tails of the marginal distribution of the log-volatility process are regularly varying with tail exponent. We also determine the exact values of the coefficients in the tail of the considered process.

Keywords: Stochastic volatility processes; Threshold; Tail distribution (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188530v1
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Published in Extremes, 2005, 7, pp.369 - 377

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00188530

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