Stylized Facts and Simulating Long Range Financial Data

Laurie Davies and Walter Kraemer
Authors registered in the RePEc Author Service: Walter Krämer

No 5796, CESifo Working Paper Series from CESifo

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 (search for similar items in EconPapers)
JEL-codes: C58 G11 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Stylized Facts and Simulating Long Range Financial Data (2016)
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