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Download the Paper (1007 K, PDF file) - January 1, 2003 Tell a colleague about it. Printing Tips: Select 'print as image' in the Acrobat print dialog if you have trouble printing.

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).

SUGGESTED CITATION:
Gawon Yoon, "A simple model that generates stylized facts of returns" (January 1, 2003). Department of Economics, UCSD. Paper 2003-04.
http://repositories.cdlib.org/ucsdecon/2003-04