A Simple Model that Generates Stylized Facts of Returns

UCSD Economics Working Paper No. 2003-04

19 Pages Posted: 30 Apr 2003

See all articles by Gawon Yoon

Gawon Yoon

Kookmin University; Pusan National University

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

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

Gawon Yoon (Contact Author)

Kookmin University ( email )

Chongnung-dong, Songbuk-gu
Seoul, 136-702
Korea, Republic of (South Korea)

Pusan National University ( email )

mulgeumup beomyeli
Kumjungku, Pusan 609-735, 50612
Korea, Republic of (South Korea)

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