Extreme Distribution of a Generalized 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 study the asymptotic behaviour of the extreme values of a stochastic volatility model when the noise follows a generalized error distribution extreme. We provide a Monte Carlo experiment to illustrate th choice of the assumptions. We deal also with the finite sample behaviour of the normalized maxima.

Keywords: Extreme value theory; Generalized error distribution; Asymptotic theory (search for similar items in EconPapers)
Date: 2003
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188535
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Published in South African Journal of Statistics,, 2003, 37, pp.127 - 148

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