Internet Archive Scholar

A Note on Stochastic Volatility, GARCH models, and Hyperbolic Distributions [article]

Stefan R. Jaschke, Humboldt-Universität Zu Berlin, Humboldt-Universität Zu Berlin
2017

Preserved Fulltext

fulltext thumbnail
Web Archive Capture PDF (278.1 kB)
https://web.archive.org/web/20170810123744/http://www.jaschke.net/papers/arch.pdf

A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL. The file type is application/pdf.

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove stationary distributions of certain GARCH-type models to be generalized hyperbolic.
doi:10.18452/3721 fatcat:qb3sr5uqvnd3pcav743iacwry4
Citation

Stefan R. Jaschke, Humboldt-Universität Zu Berlin, Humboldt-Universität Zu Berlin. "A Note on Stochastic Volatility, GARCH models, and Hyperbolic Distributions." (2017)