Stylized Facts and Simulating Long Range Financial Data
21 Pages Posted: 13 Apr 2016
Date Written: March 10, 2016
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
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