Stylized Facts and Simulating Long Range Financial Data
  We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance are truthfully mirrored in the simulated data. 
Laurie Davies, Walter Kr\"amer
q-fin.ST stat.AP