Download This PaperA Simple Model that Generates Stylized Facts of Returns
UCSD Economics Working Paper No. 2003-04
19 Pages Posted: 30 Apr 2003
Abstract
This note shows that a very simple model can generate returns that resemble most of the temporal and distributional behavior of long returns surprisingly well. The model is based on the stochastic unit root process introduced in Granger and Swanson (1997).
Keywords: Long Returns, Long Memory, GARCH, Stochastic Unit Roots
JEL Classification: C22
Suggested Citation: Suggested Citation
Yoon, Gawon, A Simple Model that Generates Stylized Facts of Returns. UCSD Economics Working Paper No. 2003-04, Available at SSRN: https://ssrn.com/abstract=376380 or http://dx.doi.org/10.2139/ssrn.376380
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