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Title:A note on stochastic volatility, GARCH models, and hyperbolic distributions PDF Logo
Authors:Jaschke, Stefan R.
Issue Date:1997
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,23
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:urn:nbn:de:kobv:11-10056700
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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