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| Author: | Ghose, D. Kroner, K. |
| Title: | The relationship between GARCH and symmetric stable processes: finding the source of fat tails in financial data |
| Journal: | Journal of Empirical Finance
1995 : SEP, VOL. 2:3, p. 225-251 |
| Index terms: | FINANCIAL DATA BASES MODELS DISTRIBUTION |
| Language: | eng |
| Abstract: | Several studies find the empirical characteristics of financial data to be consistent with stable Paretian distributions, while several other studies find the empirical characteristics to be consistent with GARCH models. In this paper the authors establish that in situations common in finance, many of the properties of stable models are shared by GARCH models , implying that many of the findings of fat-tailed stable distributions in finance since Mandelbrot could be caused by temporal clustering of volatility. |
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