Stochastic volatility models with possible extremal clustering

Thomas Mikosch, Mohsen Rezapour

In this paper we consider a heavy-tailed stochastic volatility model, $X_t={\sigma }_t{Z}_t$, $t\in \mathbb{Z}$, where the volatility sequence $({\sigma }_t)$ and the i.i.d. noise sequence $(Z_t)$ ar…