Stylized Facts and Simulating Long Range Financial Data
Statistical Finance
2016-12-16 v1 Applications
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
Cite
@article{arxiv.1612.05229,
title = {Stylized Facts and Simulating Long Range Financial Data},
author = {Laurie Davies and Walter Krämer},
journal= {arXiv preprint arXiv:1612.05229},
year = {2016}
}
Comments
24 pages 12 figures, Discussion papers SFB 823, Technische Universit\"at Dortmund, Germany 2015 48/15