An empirical study of realized and long-memory GARCH standardized stock-return

An empirical study of realized and long-memory GARCH standardized stock-return

In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to reduce...

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Veröffentlicht in:Applied financial economics letters 2007-03, Vol.3 (2), p.121-127
Hauptverfasser: Cheong, Chin Wen, Shaari Mohd Nor, Abu Hassan, Isa, Zaidi
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container_title Applied financial economics letters
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creator Cheong, Chin Wen
Shaari Mohd Nor, Abu Hassan
Isa, Zaidi
description In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to reduce but not eliminate the excess kurtosis condition compare to the realized-standardized returns.
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title An empirical study of realized and long-memory GARCH standardized stock-return
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