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Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
Published online by Cambridge University Press: 14 July 2016
Abstract
We study the asymptotic tail behavior of the conditional probability distributions of rt+k and rt+1+⋯+rt+k when (rt)t∈ℕ is a GARCH(1, 1) process. As an application, we examine the relation between the extreme lower quantiles of these random variables.
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- © Applied Probability Trust 2005
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