Stylized Facts and Simulating Long Range Financial Data

21 Pages Posted: 13 Apr 2016

See all articles by Laurie Davies

Laurie Davies

University of Duisburg-Essen

Walter Kraemer

University of Dortmund - Department of Statistics; University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: March 10, 2016

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: long-range daily stock-price, stylized facts, GARCH modelling, empirical economics

JEL Classification: C58, G11, G17

Suggested Citation

Davies, Laurie and Kraemer, Walter and Kraemer, Walter, Stylized Facts and Simulating Long Range Financial Data (March 10, 2016). CESifo Working Paper Series No. 5796, Available at SSRN: https://ssrn.com/abstract=2763508 or http://dx.doi.org/10.2139/ssrn.2763508

Laurie Davies

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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