Stylized facts and simulating long range financial data
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Date
2015
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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.