The extremal index for GARCH(1,1) processes with t-distributed innovations
Generalised autoregressive conditional heteroskedastic (GARCH) processes have wide application in financial modelling. To characterise the extreme values of this process the extremal index is required. Mikosch and Starica (2000) derive the extremal index for the squared GARCH(1,1) process. Here we propose an algorithm for the evaluation of the extremal index and for the limiting distribution of the size of clusters of extremes for GARCH(1,1) processes with t-distributed innovations, and tabulate values of these characteristics for a range of parameters of the GARCH(1,1) process. This algorithm also enables properties of other cluster functionals to be evaluated.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2006|
|Contact details of provider:|| Postal: Via J.F. Kennedy 6, 43100 PARMA (Italy)|
Web page: http://economia.unipr.it/de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
- Borkovec, Milan, 2000. "Extremal behavior of the autoregressive process with ARCH(1) errors," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 189-207, February.
- Christopher A. T. Ferro & Johan Segers, 2003. "Inference for clusters of extreme values," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 545-556.
- Paola Bortot & Stuart Coles, 2003. "Extremes of Markov chains with tail switching potential," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 851-867.
When requesting a correction, please mention this item's handle: RePEc:par:dipeco:2006-se01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Andrea Lasagni)
If references are entirely missing, you can add them using this form.