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Tail Behavior of a Threshold Autoregressive Stochastic Volatility Model |
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| Authors: | |
| Institution: | (1) LERSTAD, B.P. 234, UFR de Sciences Appliquées et de Technologies, Université Gaston Berger, Saint-Louis, Sénégal;(2) E.N.S. Cachan, Equipe MORA, IDHE UMR CNRS C8533, 61 Avenue du Président Wilson, 94235 Cachan Cedex, France |
| Abstract: | We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid regularly random variables. We prove that both the right and the left tails of the marginal distribution of the log-volatility process (αt)t are regularly varying with tail exponent −α with α > 0. We also determine the exact values of the coefficients in the tail behaviour of the process (αt)t. AMS 2000 Subject Classification. Primary—62G32, 62PO5 |
| Keywords: | heavy tail stochastic volatility model tail behavior threshold autoregressive model |
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