GARCH(1,1) process can have arbitrarily heavy power tails

DOI10.1007/S10986-007-0012-ZMaRDI QIDQ2471670zbMATH OpenOpenAlexFDO

Authors A. Klivečka, Donatas Surgailis

Publication date 18 February 2008

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-007-0012-z

zbMATH Keywords

GARCH(1,1) processheavy-tailed distributionstail index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extreme Value Theory for GARCH Processes
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 48232 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Implicit renewal theory and tails of solutions of random equations
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
• Perpetuities with thin tails
• Random difference equations and renewal theory for products of random matrices
• Recent advances in ARCH modelling
• Regular variation of GARCH processes.
• Stationarity of GARCH processes and of some nonnegative time series

Cited in

(3)

• HARCH processes are heavy tailed
• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
• On the tvGARCH(1,1) model: existence, CLT, and tail index

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