Regular variation of popular GARCH processes allowing for distributional asymmetry

Todd Prono

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in establishing the asymptotic properties of certain GARCH estimators proposed in the literature

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Year of publication:	August 2017 ; First version: August 2017
Authors:	Prono, Todd
Publisher:	Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board
Subject:	GARCH \| Pareto tails \| Heavy tail \| Regular variation \| Threshold GARCH \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| ARCH-Modell \| ARCH model \| Statistische Verteilung \| Statistical distribution \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (circa 11 Seiten)
Series:	Finance and economics discussion series. - Washington, DC : Board of Governors of the Federal Reserve System, ZDB-ID 2670319-1. - Vol. 2017, 095 FEDS Working Paper ; No. 2017-095
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58
Source:	ECONIS - Online Catalogue of the ZBW

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