A note on stochastic volatility, GARCH models, and hyperbolic distributions

Stefan R. Jaschke

No 1998,23, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove stationary distributions of certain GARCH-type models to be generalized hyperbolic.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199823

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