Stylized Facts and Simulating Long Range Financial Data

21 Pages Posted: 13 Apr 2016

See all articles by Laurie Davies

Laurie Davies

University of Duisburg-Essen

Walter Kraemer

University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: March 10, 2016

Abstract

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.

Keywords: long-range daily stock-price, stylized facts, GARCH modelling, empirical economics

JEL Classification: C58, G11, G17

Suggested Citation

Davies, Laurie and Kraemer, Walter, Stylized Facts and Simulating Long Range Financial Data (March 10, 2016). CESifo Working Paper Series No. 5796, Available at SSRN: https://ssrn.com/abstract=2763508

Laurie Davies

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany
0231 755-3125 (Phone)
0231 755-5284 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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