程式化事实和模拟长期财务数据

ERN: Simulation Methods (Topic) Pub Date : 2016-03-10 DOI:10.17877/DE290R-16489

Laurie Davies, W. Kraemer

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引用次数: 9

摘要

我们提出了一种新的方法(在r程序中实现)来模拟长期的每日股票价格数据。该程序比扩展garch家族的各种参数模型更好地再现了各种程式化事实。特别是，经验观察到的无条件方差的变化如实反映在模拟数据中。

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Stylized Facts and Simulating Long Range Financial Data

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.

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ERN: Simulation Methods (Topic)

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