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Lindner, Alexander M.
Meyer, Katharina M. M.
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Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 347
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes exhibit the same extremal behavior as their associated iid sequences. The results are then compared to related models, such as stochastic volatility models or Log-ACD models.
exponential GARCH
extreme value theory
tail behavior
Gumbel distribution
conditional variance
Gaussian tail
stochastic volatility model
Log ACD model
norming constants
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Working Paper

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