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Extremes

, Volume 7, Issue 4, pp 367–375 | Cite as

Tail Behavior of a Threshold Autoregressive Stochastic Volatility Model

  • Aliou DiopEmail author
  • Dominique Guegan
Article

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 (α t ) 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.

Key words

heavy tail stochastic volatility model tail behavior threshold autoregressive model 

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Copyright information

© Springer Science + Business Media, Inc. 2005

Authors and Affiliations

  1. 1.LERSTAD, B.P. 234, UFR de Sciences Appliquées et de TechnologiesUniversité Gaston BergerSaint-LouisSénégal
  2. 2.E.N.S. Cachan, Equipe MORA, IDHE UMR CNRS C8533Cachan CedexFrance

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