Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61282 
Year of Publication: 
1997
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,23
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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