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

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