Working Paper
Stylized Facts and Simulating Long Range Financial Data
Laurie Davies, Walter Kraemer
CESifo, Munich, 2016
CESifo Working Paper No. 5796
CESifo, Munich, 2016
CESifo Working Paper No. 5796
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.
CESifo Category
Monetary Policy and International Finance
Empirical and Theoretical Methods
Monetary Policy and International Finance
Empirical and Theoretical Methods
Keywords: long-range daily stock-price, stylized facts, GARCH modelling, empirical economics
JEL Classification: C580, G110, G170