Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007
order are satisfled by this DGP. In Table
1, we report some summary statistics for 50,000 observations from this DGP, and in … integrated to produce the excess kurtosis and
the ACF shown in Figure 2.
Table 1: Descriptive statistics for 50000 simulated data …
Mean -0.001 Maximum 10.47
Standard deviation 1.623 Minimum -12.76
Skewness -0.156 Kurtosis 6.57
Statistics for 50 …