How fat are the tails of equity market indices?
用GARCH模型和极值理论分析22个发达和19个新兴股票市场指数的尾部厚度，发现残差指数尾部不能强烈拒绝，且两类市场均存在尾部不对称，新兴市场在2008年金融危机后尾部风险和不对称性显著变化。
Abstract Using a generalized autoregressive conditional heteroskedasticity model to explain away the volatility clustering of volatility effect and extreme value theory to analyse the residuals' left and right tails, we study the tail thickness of 22 developed and 19 emerging equity market indices. In‐sample and out‐of‐sample tests indicate that exponential tails of the residuals cannot be strongly rejected. We study the dispersion of extremes of developed and emerging markets, and we report a statistically significant tail asymmetry in both types of markets and a significant change in both tail risk and tail asymmetry of emerging markets after the financial crisis of 2008.