Slice Distribution of GARCH(1,1)
Generalized autoregressive conditionally heteroscedastic process GARCHProcess is used to describe time series that exhibit volatility clustering phenomenon. The distribution of the time slice of a GARCH process has much heavier tails than the normal distribution. These two properties make GARCH process a very attractive choice to model financial time series, which display both of these phenomena.
Define a weakly stationary GARCHProcess.
Define a GARCHProcess with fixed initial value.
Simulate random samples from each process sliced at time 3.
Visualize sharply peaked probability density functions from data in the log scale.
Compare to a NormalDistribution.