A simple model that generates stylized facts of returns

Gawon Yoon

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: This note shows that a very simple model can generate returns that resemble most of the temporal and distributional behavior of long returns surprisingly well. The model is based on the stochastic unit root process introduced in Granger and Swanson (1997).

Keywords: long returns; long memory; GARCH; stochastic unit root (search for similar items in EconPapers)
Date: 2003-01-01
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Citations: View citations in EconPapers (6)

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