\(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (Q2471670)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails |
scientific article |
Statements
\(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (English)
0 references
18 February 2008
0 references
GARCH(1,1) process
0 references
tail index
0 references
heavy-tailed distributions
0 references
0 references
0 references
