Extremal behavior of the autoregressive process with ARCH(1) errors

We investigate the extremal behavior of a special class of autoregressive processes with ARCH(1) errors given by the stochastic difference equationwhere are i.i.d. random variables. The extremes of such processes occur typically in clusters. We give an explicit formula for the extremal index and the probabilities for the length of a cluster.

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Year of publication:	2000
Authors:	Borkovec, Milan
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 85.2000, 2, p. 189-207
Publisher:	Elsevier
Keywords:	ARCH model Autoregressive process Compound Poisson process Coupling Extremal behavior Extremal index Frechet distribution Heavy tail Heteroscedastic homogeneous Markov process Recurrent Harris chain Separating sequence Strong mixing

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875300