### Tail index in dependent data

##### March 28, 2019

Antonella Altamura and Marco Bee spotted that the language of the discussion on tail index for ARCH type data was not correct. It said that

\begin{equation*} \Gamma(\iota/2+1/2)=\sqrt{\pi}(2\alpha)^{-\iota/2} \end{equation*} was the unconditional distribution of \( Y \) which of course does not make sense.

Instead it should say that the value of \(\iota\) can be found by solving for \(\iota\) in the equation.

##### Financial Risk Forecasting

Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.© All rights reserved, Jon Danielsson,