Davies, LaurieKrämer, Walter2015-12-212015-12-212015http://hdl.handle.net/2003/3443310.17877/DE290R-16489We 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.enDiscussion Paper / SFB 823;48/2015310330620working paper