Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130414
Authors: 
Davies, Laurie
Krämer, Walter
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper 5796
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.
Subjects: 
long-range daily stock-price
stylized facts
GARCH modelling
empirical economics
JEL: 
C58
G11
G17
Document Type: 
Working Paper

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