A Note on Stochastic Volatility , GARCHmodels , and Hyperbolic
نویسنده
چکیده
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to t exceptionally well to the empirical distribution of stock returns. We review the background of hyper-bolic distributions and prove stationary distributions of certain GARCH-type models to be generalized hyperbolic.
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