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Tail behaviour of [beta]-TARCH models

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  • Elek, Péter
  • Márkus, László

Abstract

It is now common knowledge that the simple quadratic ARCH process has a regularly varying tail even when generated by a normally distributed noise, and the tail behaviour is well-understood under more general conditions as well. Much less studied is the case of [beta]-ARCH-type processes, i.e. when the conditional variance is a 2[beta]-power function with 0

Suggested Citation

  • Elek, Péter & Márkus, László, 2010. "Tail behaviour of [beta]-TARCH models," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1758-1763, December.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:23-24:p:1758-1763
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    References listed on IDEAS

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    1. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    2. Péter Elek & László Márkus, 2008. "A light‐tailed conditionally heteroscedastic model with applications to river flows," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 14-36, January.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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