Statistical Test on "fat tail" Phenomena in Time Series
Peng Zuo · Journal of Southwest China Normal University · 2003
Empirical evidences show that the distributions of high frequency time series are fat tail type distribution rather than normal distribution with light tail as those in traditional modeling. In order to embody fat tail phenomena, ARCH class models have been frequently used in financial time series. Some statistical test methods on fat tail distribution of time series are obtained by using properties of extreme value theory and extreme index estimator under large sample.