A particle-filter algorithm samples the spectral measure of GARCH(p,q) processes, enabling computation of the tail index, extremogram, and extremal index for general GARCH models.
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Evaluation of extremal properties of GARCH(p,q) processes
A particle-filter algorithm samples the spectral measure of GARCH(p,q) processes, enabling computation of the tail index, extremogram, and extremal index for general GARCH models.