Stylized Facts and Simulating Long Range Financial Data

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance are truthfully mirrored in the simulated data.

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Year of publication:	2016
Authors:	Davies, Laurie ; Krämer, Walter
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	long-range daily stock-price \| stylized facts \| GARCH modelling \| empirical economics

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Series:	CESifo Working Paper ; 5796
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	855096853 [GVK] hdl:10419/130414 [Handle] RePec:ces:ceswps:_5796 [RePEc]
Classification:	c58 ; G11 - Portfolio Choice ; G17 - Financial Forecasting
Source:	EconStor

Persistent link: https://www.econbiz.de/10011451407