heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 … stock market returns ranging from 1995-2014 and compare these to the tail indexes produced by simulating GARCH models. Our … results suggest that actual and simulated values differ greatly for GARCH models with normal conditional distributions, which …

investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non …