Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion

ArXi:2603.10202v1 Announce Type: cross Generating synthetic financial time series that preserve statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches, from parametric models to deep generative networks, struggle to simultaneously reproduce heavy-tailed distributions, negligible linear autocorrelation, and persistent volatility clustering.