\(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (Q2471670)
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scientific article; zbMATH DE number 5236539
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| English | \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails |
scientific article; zbMATH DE number 5236539 |
Statements
\(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (English)
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18 February 2008
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GARCH(1,1) process
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tail index
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heavy-tailed distributions
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0.7791404724121094
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0.7783368229866028
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0.7723836898803711
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0.763533890247345
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